Yes, click on him when the pink balloon is over him and choose collect wool.
Harvest wool
To harvest cow on farmville you need to click it. Your character will then go over to the cow and harvest it.
You harvest feathers!
You can harvest horsehair from them.
Wool
yes
You can harvest them and gain coins.
No.
No.
You can harvest goat's milk from them
Horse Hair
You cannot harvest your neighbour's crops in FarmVille. You can, however, fertilise their crops and feed their chickens during visits to their farm.