Interestingly, the Wiki article on bumbleees refers to the “hairlike substance called pile,” yet other articles (on Wiki and elsewhere) simply refer to the “hair” in the legs or bodies of other insects.
We might need a decision from a genuine entemologist.
It’s really just a matter of definition. In its broadest sense, “hair” can mean any kind of filamentous extension of the epidermis of an organism, whether plant (e.g. root hairs) or animal (or for that matter, can refer even an extension of a single cell).
In its narrowest definition, however, “hair” refers just to the mammalian hair, which is composed of keratin and which grows from specialized follicles in the skin. Insect “hair,” in contrast, is composed of chitin like the rest of the exoskeleton. Since it is different in composition and structure from mammalian hair, some references prefer to call it “hairlike” rather than true hair.