What have you tried? Is he afraid of you walking near him with it or what? Thay can be a little spooky about them at first, You'll want to have ahold of him, but if you can get it fastened on correctly and you turn them out to buck and try to shake it off a little, they'll ignore it within minutes.
I love the beautiful long hair on Cezar, his winter coat, it is beautiful... he does seem fine, warm all over. The barn is just white steel barn, his door faces east, he just stands out there basking in the sun
If he has a good winter coat and shelter out of the weather so that he doesn't get (and stay) both wet and cold, he really never ~needs~ blanketing. I blanket mine because I don't like the long winter coat to grow, for one, and also because we get long periods of both cold and wet. It isn't uncommon for us to have snow on the ground and rain falling on top of it. unblanketed and out in that, they can get in trouble. But if you blanket at the start of the year like I do, they have to stay blanketed 24/7 whenever the temps are below a threshold (mine is 49). Yours is acclimated and has a place to get out of it, so unless he gets soaked through and then a cold night, he'll be fine. Even blanketed, I close mine in at night when it's wet for weeks on end. I do this because they are spoiled, and because I think it's good for them to have a chance to dry out skin and foot thoroughly every night.
We don't blanket any of our horses unless we see someone shivering (one mare is very thin haired and sometimes won't go in out of the weather).
They acclimatize to the temperatures and grow thick wooly coats. About February we will start shedding out the horses that are shown and blanket them. When we do that, they get hoods or sleazies too, depending on the weather.
He'll be fine with his winter coat and the barn to get out of the wind.