Any type of coat can suggest warmth and love, but also protection.
This protection can be either physical or emotional, and particularly in the case of a cloak, can be the spiritual protection of faith.
A sheepskin coat may emphasize this significance fear of losing the coat can suggest the fear of losing faith and belief.
If the coat is too short or not thick enough it shows we may be fearful that our love, or the protection we have, is not adequate for our needs.
Also consult the entry for sheep in animals.