Our bodies naturally contract when it is cold. This is to prevent heat loss, but at this time, the erector pili muscle, which is at the base of the hair and is used to raise the hair, can also contract.
When this muscle contracts, the hairs are pulled, straightened, and slightly lifted up. Thus, small wart-like growths are formed. This is how the warts form.
If an animal has a lot of hair on its body, the erecting flap creates more air between the hairs, making it more difficult for heat to escape. However, this is not so useful for humans, who have only thin and short hair. This is said to be a legacy of the days long ago when humans still had many hairs on their bodies. It is amazing that this kind of thing still exists today, even though the amount of hair on the body has completely decreased.