Okay, so tiny baby pegasi have coat pockets. Obviously, a foal's instinct directs them to their father, who is nature's care-giver. He might not have given birth to them, but he will defend his foals (and often, the foals of others because instinct) to the death. Naturally, a foal's first instinct when upset or distressed is to call to its father. Now let's say YOU are that father. Imagine the fulfilling life that has lead up to and continues from fatherhood in Equestria. Picture the nights of passion and love with your mare(s). The conception. The repeat conception attempts after that just to make sure it sticks. And the ones after that because you're pretty sure you heard something about widening birth canals. And the ones after that because your horsewife's hormones are crazy during pregnancy. And the ones after that because mares are horny bastards who, as horse-TV and other horse-media has taught us, are always thinking about sex and will jump at the chance for it.
Anyway. Fulfilling life, loving waifu(s), and now you're a daddy. Nature makes your foals consider you their primary care-giver and protector, and you'll find your horse-children huddling around you, scared out of their minds during thunderstorms and fireworks displays. Like I said: tiny baby pegasi hide in your coats and jackets. What do earth pony foals and unicorn foals do?