Strange Exhaust Fur

This morning I went to Heathrow airport, stopped at McDonalds on the Bath Road (a greasy muffin with maple syrup), and stopped again at Budgens to pick up some chow. When I got out of the car I noticed a trail of animal fur, a couple of metres long, trailing from my exhausted pipe. I got home and pulled at the fur which came out another metre or so, leaving a little bit still in the pipe. I pulled again and there was more and more. It just kept coming, there must have been a good bears worth, although it wasn't from a bear. I couldn't tell you what it was from. It was soft and clean, black and grey. So I left it there on the road. I had to pop out again, the car still sounding slightly weird as I drove. When I arrived home again it had moved into my parking space, so I threw it onto the lawn by the fence. When I reached the door it was there, trying to get in the cat flap. Now it follows me. Everwhere I go it's there. My cat (Mr Fel-Fotch) doesn't see him, which just adds to my list of mysteries, do cats only see in black and white? do they have belly buttons? where did that come from? why are fish and horses so sad? More importantly, what is this stuff making my muff rough?!