WWF facts about Sea Otters
Bostonlobstah is correct on Sea Otters having very dense fur.
#9 in the list on the WWF website sites that "Its fur is the densest of any animal on Earth—an estimated 1 million hairs per square inch. That’s because, unlike its fellow marine mammals, it has no blubber to keep it warm. " Another fact while we are stating them, on the WWF site #5 says " 5. If a sea otter’s fur becomes dirty, it has trouble absorbing the air needed to keep it warm. Therefore, sea otters are obsessive about keeping their fur clean, and groom themselves practically non-stop when they’re not eating or sleeping. Oil spills, therefore, can affect sea otters perhaps more so than any other marine mammal; oil coating their fur can lead to death by hypothermia. "
Note that I am not a biologist myself, I just googled "Sea Otter fur facts".
But in question to the original topic I think that cold resistance is good.