When a cold breeze reaches your arm, the small bumps are not pores suddenly swelling. Each hair follicle has a tiny arrector pili muscle beside it. Cold activates the sympathetic nervous system, the muscle contracts, and the hair is pulled more upright. The surrounding skin is tugged at the same time, producing a surface that resembles the plucked skin of a bird: goosebumps, or piloerection.
In a densely furred mammal, raised hairs can trap a layer of relatively still air and reduce heat lost by convection. Human body hair is sparse, so lifting it adds very little insulation. The response is better understood as an automatic programme inherited from hairier ancestors than as the body growing an effective temporary coat.
Fear, awe or powerful music can produce the same appearance because these states can also recruit the autonomic nervous system. Goosebumps therefore show that piloerection has occurred, but they cannot by themselves identify a person's precise emotion. The immediate mechanism is still neural activation contracting the arrector pili muscles, not the skin independently “feeling cold”.
https://www.nih.gov/news-events/nih-research-matters/what-goosebumps-are
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