Alistair Hardy's aquatic ape theory suggests hair, as we have it, would be a problem in the water, causing us to lose body heat quickly.  Therefore, effectively losing it all over our body is a good idea, bearing in mind it is thought we evovled in Africa and not the Arctic.  The suggestion for women retaining their hair was as a means to give youngsters somewhere to 'hang on to'.

There are also issues linking hair loss, on the head, to testosterone, conversely producing more hair on the body.  Suggestions being that it highlights maturity, social status and suitability to be a father, those with more hair being more reckless, less settled and less suitable for bringing up children.  I belive there has been work carried out on other great apes as they suffer from hair loss as well.

Of course, the real reason, that I tell my wife, is that sex gods are solar powered, the hair would get in the way of the solar panel.

Probably the reason is that for most of human history the men died and/or reproduced before the age of hair loss. Therefore there was no selection pressure for keeping hair. The same reasoning applies for most disorders that mainly apply to the elderly