Egg with fur? That might sound like an egg of some type that has fungus. If it is an egg and if it was in a nest, the parents might be expected to be fanning the egg to keep fungus from growing. But then that doesn't always work out and we do see eggs turn white and the parents will eat that egg. It helps them fatten for next time as well as keeps the fungus from spreading to the other eggs. But if there was a single egg out somewhere, fungus sounds like a good possibility. Perhaps that looks a bit large for an egg, so is it possible it is some other bit of organic that has fungus? a small portion of food? I would lean toward removing it just to avoid some weird thing.