While most experts will agree that wearing a hat daily will not cause you to lose your hair, it can cause problems for those who are already losing their hair due to male pattern baldness and genes. This myth of hats causing hair loss probably stemmed from the stories of those entering the military, who lose their hair soon after from what some think is from wearing hats and helmets daily. Unfortunately, it's more likely that the time they entered the military coincided with the onset of baldness, rather than the hat causing it. However, there are some ways that a hat could cause a problem for someone who has already thinning hair.
When removing and replacing a hat often, some delicate hair that is already thinning or falling out could be aggravated, and pulled out. This could potentially expedite the loss of hair that is about to fall out due to balding. Not removing the hat and replacing it as often could help keep some of that hair on the head where it belongs.
While most experts, like the ones at AskMen.com, agree that hats aren't an express cause of thinning hair or baldness, they do concede that in some conditions, a very tight hat could potentially cut off circulation to the head and result in a deadened hair follicle. For this to happen, the hat would have to be so tight that it would be extremely uncomfortable. Similarly, if a man were to wear a hat while sweating profusely, that sweat could become trapped in the follicle and theoretically slow down growth, but the process must be studied further for more definitive answers.
Continuing to wear a hat all of the time could potentially lead to damaged hair in the form of split ends and breakage. This will in turn cause the hair to look less thick, and thinner in some places.
Wearing a hat all of the time can cause your hair to become flattened, giving it a thinner appearance. When your hair is longer than a quarter of an inch, wearing a hat down tight on the head will affect the style. Going without a hat and using a styling pomade to give it added thickness will make thin hair less noticeable.
While hats may not be the sole perpetrator when it comes to your hair loss, they don't help it--especially if you're wearing tight hats, exercising in a hat and sweating into it, or being careless when removing or replacing your hat. However, your genes will play a much bigger role in your hair loss than your hat will.