I think you'll find it's quite normal!

it is the plants adaptation to saving water. the hairs slow down transpiration from the plant and for a cactus this is a good thing. It develops as the plant matures.

I don't really understand what you are asking. Do you mean you have a cactus that isn't hairy and you want it to be? Nothing you can do about that, as it depends on the variety of cactus. Some are hairy and some aren't. Or perhaps you mean you have little patches of white furry stuff appearing on the plant - this could be mealy bug and you can get rid by painting all the white fluffy bits with meths on a small paint brush. Or are you asking why hairy cacti are hairy- Seaburngirl has answered that one.