Yeah ... same here ... I envy them those thick, soft fur coats ... mother nature does a pretty good job on insulation ... you see snow sitting on their backs and it doesn't even melt when I bring them into the barn.
Never seen a shivering horse.

The dogs, now, have nice coats ... but shrewd minds ... they stick their noses out and decide they can probably "hold it" for another couple of hours, or a week ... or ...