If you wet it, its fur "slicks down" to almost nothing, although the most drenching wetting will not wash all the air out of it, but still leaves a dry layer next to the skin.

The fur of mink skin, coon skin, or wolf skin, is an inch thick; and nearly eighty per cent of this thickness is air.
The great advantage for clothing purposes of wool over fur is that the wool is porous through and through, while the fur is borne upon, and backed by, a layer of leather--the skin of the animal upon which it grew--which layer, after tanning and curing, becomes almost absolutely air-tight.
As a matter of fact, furs are worn mostly for display and are most unwholesome and undesirable garments.

The only real excuse for their use, save for ornament in small pieces or narrow strips, is on long, cold rides in the winter, and among lumbermen, frontiersmen, and explorers.

They hold in every particle of perspiration and poisonous gas thrown off by the skin, and if worn constantly, make it pale, weak, and flabby; and the moment we take them off, we take cold.
For outer garments and general wear, nothing yet has been discovered equal to wool, particularly at the cooler times of the year.

But for under wear, in the hotter seasons and climates, wool has certain disadvantages.