Here, I found this for you:
The "goose bumps" (also "goosebumps") effect gets its name from geese. Goose feathers grow from stores in the epidermis which resemble human follicles. When a goose's feathers are plucked, its skin has protrusions where the feathers were, and it is these bumps which the human phenomenon resemble. It is not clear why in English the particular fowl goose was chosen, as most other birds have this same anatomical feature. The term "goose bumps" is misleading because the bumps on a goose's skin does not qualify as piloerection, though birds do have the same reflex of extending their feathers out, a function of keeping themselves warm.