The find consisted of fossilized bones, unlike the Siberian mammoth finds, which had flesh and skin with hair. How do they know it was woolly?
http://www.rhinos-irf.org/woolly/
"At Staruni in what is now the Ukraine, a complete carcass of a female Woolly Rhino was discovered buried in the mud. The combination of oil and salt prevented the remains from decomposing allowing the soft tissues to remain intact."