The idea that low surface densities of hairs could be a heat loss mechanism is understood in engineering and has been postulated in some thermal studies of animals. However, its biological implications, both for thermoregulation as well as for the evolution of epidermal structures, have not yet been noted. Since early epidermal structures are poorly preserved in the fossil record, we study modern elephants to infer not only the heat transfer effect of present-day sparse hair, but also its potential evolutionary origins. Here we use a combination of theoretical and empirical approaches, and a range of hair densities determined from photographs, to test whether sparse hairs increase convective heat loss from elephant skin, thus serving an intentional evolutionary purpose. Our conclusion is that elephants are covered with hair that significantly enhances their thermoregulation ability by over 5% under all scenarios considered, and by up to 23% at low wind speeds where their thermoregulation needs are greatest. The broader biological significance of this finding suggests that maintaining a low-density hair cover can be evolutionary purposeful and beneficial, which is consistent with the fact that elephants have the greatest need for heat loss of any modern terrestrial animal because of their high body-volume to skin-surface ratio. Elephant hair is the first documented example in nature where increasing heat transfer due to a low hair density covering may be a desirable effect, and therefore raises the possibility of such a covering for similarly sized animals in the past. This elephant example dispels the widely-held assumption that in modern endotherms body hair functions exclusively as an insulator and could therefore be a first step to resolving the prior paradox of why hair was able to evolve in a world much warmer than our own.