I’ve spent considerable time outdoors in freezing weather, including overnight, wearing nothing but Stone Age clothing. Fur clothing is extremely warm (fur keeps Arctic animals alive & well without shelter or fire, after all), and many are also quite lightweight, unless made using chrome-tanned modern shite, or too thickly-furred winter-killed animals. I can function 100 % unencumbered wearing a braintanned September deer hide parka and leggings, while keeping as warm as with any modern store-bought winter wear. Same goes for footwear.
The downsides to fur clothing is they don’t fare well at all with water (hence gut and grass overcoats, or going naked in the rain), they aren’t very long-lived in hard use (although most modern clothing isn’t either), and numerous insect species use fur as food / kindergarten, rendering stored fur clothing kaputt in short order.