Rugs can easily cause a horse to overheat when he has a thick winter coat. If you've noticed, horses turned out while wearing rugs roll a lot and lie down. It's because they are too warm and itchy. People often blanket horses because they themselves feel chilly but we're not born with fur coats. Horses raise and lower the hair to retain or release heat and are very good about regulating their temp. Blanketing upsets this process.
Honestly, if a horse has a very thick winter coat I'm not inclined to blanket at all - they're likely to overheat. Blankets (turnout or stable) are designed to do the job of the winter coat or supplement the coat, if the coat is adequate, then there normally isn't a need for a blanket/turnout and your horse will be happier without it.