To the untrained eye, a sheep might look like a big, dumb heap of wool standing around in the rain. What you might not know is that the wool on a sheep's back is actually a sophisticated web of fibers that may well be the most versatile and useful animal product on Earth, outside of perhaps leather. That same sheep milling about a field in the cold wetness is actually keeping pretty dry and warm underneath, thanks to the amazing characteristics of its "sweater."
When the sheep is shorn and the wool made into a sweater it goes through a lot of processes that destroy the rain proofing that the sheep enjoys.