Okay…a quick trivia search has gleaned a couple of fun tidbits.
Moths do not eat wool, only their larvae which would not survive on a moving animal.
Clothes Moths evolved in birds nests eating feathers and bits of animal fur used as nesting materials, a taste for wool developed from this.
Lanolin the natural water repellent in sheeps wool would also form a protective coating that would prevent moths laying eggs deeply enough in the fleece to allow for incubation.
So the answer is….possible but not probable.