This is due to irritation. You've probably noticed that the so-called "goose bumps" or "goose bumps" appear not only when it's cold, but also, for example, when you hear or just remember the sound of chalk rubbing against a board or a fork on a saucepan. This is a reaction of the body.
Well, she lifts our former wool, which should have kept warm :)
It seems to me that they explained it back in the second grade.
In the end, just look at the wiki " Piloerection in humans is a rudimentary reflex - due to the limited hairline, it has lost its practical meaning for humans. "