Denier is a measure of linear density for fabris. Basically meaning, how much fabric used and how tight and well the fabric was made.
When looking at blankets, you will look at the description saying something such as: Medium turnout, water resistant, 640 denier 300 polyfill. The higher the denier number, the stronger the fabric. I have seen denier numbers range from 200-1640. 200 being a weak, cheap fabric that will rip easily and probably not suitable for turnout; and 1640, a very strong fabric very suitable for turn out and difficult to rip.
Stable blankets, in general, have a lower denier number. It is normally expected that the horse doesn't need an extremely strong fabric for just their stall. The OP could try a turnout blanket rather then stable blanket. Also, pay attention to nylon straps, strong and reliable buckles, seams coated in wax or a protectant against deterioration caused by water, and the correct polyfill. Nylon is an extremely strong material, very difficult to break, which is ideal for a blanket. Buckles that are rust resistant are a plus. The seams are made of thick thread sewn well to hold the blanket together. Over time, water rotts fabrics and tears them down. Having some protection such as wax, a water repellant, on the seams protects the threads from deterioration. A soft liner, the part on the inside that touches the horse, should be soft and need not to worry about it's durability. I also enjoy water proof or at least water resistant fabrics. Of course for turn out, but also since the fabric has been pre-treated against water - once again protecting from damage due to water/other chemicals.
And polyfill. Polyfill generally ranges from lightweight, medium weight and heavy weight. If you have questions on which to chose, ask away!
The one thing I want to add is not using sheets as a winter blanket. Sheets offer no warmth. They keep the horse dry, yes, but tend to make them colder. Explanation - A horse's winter fur will 'fluff' up on purpose. This creates a barrier to keep body heat from escaping the fur and keeping the horse warm. When a horse wears a sheet and the fur is not allowed to fluff, the horse looses the barrier resulting to the body heat being lost.
Hopefully that helped.