Moths are often covered in fine scales or hairs. These absorb sound and make them less visible to bats, which use echolocation to find them in the dark.
Soft things absorb sound very well, because the hairs slow down the vibration of the air at a microscopic level. Compare to hard surfaces which sounds bounces off of very easily. It’s the same reason that a tile bathroom is very echoey, but a pillow fort is very muted and quiet.
In this case, a bat makes a squeak sound and listens for the tiny echo that bounces off the bug. Bugs that are “like a tile bathroom” will make a strong echo that the bat can find (and eat). Bugs that are “like pillow forts” will make no echo, and the bat won’t know it’s there. If bats are eating the more echoey bugs, only the quietest ones will be left. And that’s why moths are hairy.
Owls’ plumage is also soft for a similar reason— they need to be silent in flight, but in this case it’s so they can silently swoop down on their prey without scaring it away.
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