Humans are considered primates. This order includes apes, monkeys, and lemurs. There are hundreds of living primate species, but only humans are naked.
Naked mammals are known to evolve in two kinds of habitat: A subterranean one or a wet one. All other non-human mammals that have lost their fur are either swimmers (whales, dolphins, manatees, walruses, etc.) or wallowers (pigs, tapirs, hippopotamuses, etc.). Even the elephant and rhino show signs of a watery past, and will wallow whenever they can.
Some scientists suggest that humans became hairless to prevent themselves from overheating in the savannah. But no other mammal has ever needed to do this. A convering of hair can act as a defense against the heat of the sun. That is why even desert-dwelling mammals, like the camel, kept their fur. Another suggestion is "to make sweat-cooling possible", but many species use sweat-cooling effectively without losing their hair.
For a savannah primate, hairlessness would create a serious problem. Primate infants are carried around by holding onto their mothers' fur; the females would be severely slowed during foraging if that was no longer possible.
There is one simple conclusion that can explain this: Although the best insulation for land mammals is a fur coat, the best insulation in water is a layer of fat.