Sea otter

They have the densest fur of any animal.

An excerpt from the article 19 facts about Sea otter

Sea otters grow about 150,000 hairs per 1 cm2 (about 1 million per 1 square inch). It is made up of two types of hair: underfur and guard hairs, which are waterproof and protect the underfur from soaking.

Between the coat and the skin is an air space that helps otters keep their bodies warm. This is why sea otters do not have blubber, which is common in many marine animals.