Which yarn for tea cozy

Which fiber out there is best for keeping the heat in to make a tea cozy? I’ve seen patterns using both cotton and wool, but I was wondering if anybody had any personal experience as to which was better to use.

I’ve never made a tea cozy, but in general cotton breathes better than wool, so I’d guess wool.

I just googled knitted tea cozies and many were made from wool, one was made from wool and silk and another from cotton.