It's unclear:

Surely, if the hair on our heads has its uses – protection from the sun, a little bit of warmth and also, perhaps, sexiness – men who lose theirs are at a disadvantage. Why then have the genes associated with male pattern baldness been successfully passed on, rather than becoming a little more rare with each generation? Why, in other words, haven't bald men gone extinct? … [M]ost [theories] revolve around making some attempt to argue that baldness offers some kind of evolutionary advantage. Some researchers suggests, for instance, that it signals dominance and status, while others suggest that it shows people that they offer maturity, wisdom and nurturance.

I'm with the latter explanation.

(Vintage ad via The Art Of Manliness)