Please see the embolded phrase below. Why does the body overheat epidermis exposed to the air? Why can’t it heat it sufficiently close to room temperature?
The question is: ELI5: Why is it more comforting to have even the thinnest blanket covering when sleeping?
It blocks convection cooling (aka. wind draft cooling).
If your bedroom temperature is above your skin temperature ~35°C (or 95°F), then you will feel more comfortable without the blanket. But anything below that will feel uncomfortable because convection cooling is x10 more efficient than other cooling and is triggered by your body being hotter than the room.
What happen is a part of your body feel slightly too cold, and your body will heat it up a little bit. But that area is now slightly hotter than the air in the room, this causes a tiny draft of air to raise out of that area to be replaced by slightly colder air. This is efficient at cooling and your body need to work extra hard on that area that it didn’t want to be that cool in the first place. If you have a blanket (no matter how thin) that gets in the way of that draft, it’s much more comfortable.
Hairy people tend to not mind that draft, as the body hair is sufficient to get in the way.