Well, evolution has decided that animals that have the most fur need the most fur- polar bears for example have really thick fur because they live in really cold areas. Humans have less fur/hair because we have evolved to live in a safer environment. Animals are born without fur/with little fur, because they have been kept warm in their mother’s womb/eggs until then. They then grow fur if they need to.
Evolution and natural selection! As humans evolved in Africa, they lost their hair/fur to keep cool. Great example is the difference between the elephant and the wooly mammoth. The mammoth lived at a time and in places where it was very cold, the ice age, whereas African and Indian elephants have very little hair.
Some animals don’t have fur mainly because that’s how they’ve evolved to regulate their body heat. Reptiles like lizards and snakes for example don’t grow fur!