My girl used to do this when she was really small. I'm not sure if it's arm hair that bothers them or if it just triggers headshyness in general, because she'd also weave between my fingers and then scare herself when she saw a finger in a place she wasn't expecting it, I guess. I think it's just a thing when they're very small and not as used to handling; my girl completely outgrew it after a few months and now it doesn't seem to bother her at all.