The most common and most likely answer to this crossword clue is the 5 letter word OTTER
I've seen this crossword clue in Independent
O
T
T
E
R
Buddy explains!
The straight part
We know that "Something furry" is the straight/definition part of the clue. The straight part is often a synonym or definition, in this case something furry = otter .The cryptic/wordplay part
In cryptic crossword there's often an wordplay/cryptic part as well.This part involves a more complex hint, such as an anagram, homophone, hidden word, etc.
Sadly, We don't have an explanation for this specific crossword clue yet.
What does OTTER mean?
OTTER noun- An aquatic or marine carnivorous mammal in the subfamily Lutrinae of the family Mustelidae, which also includes weasels, polecats, badgers, and others.
- A hairy man with a slender physique, in contrast with a bear, who is more thickset.
- Annatto (dye)