I have horses aswell, and we always put rugs on them to suit the weather conditions, but never put any rugs on the donkeys. Their coat is thick, but would getting them a rug still be a good idea to keep them warm? Its snowing where I live at the minute, and its meant to be getting even colder soon!
If they have lived all their lives without rugs then they wont need them. The majority of horses do not need rugs, people just think that they do. A horse or donkey can regulate its temperature very well, by putting a rug on you are actually stopping their bodies from working properly. The only time I would put rugs on is if it constantly rains/snows and they live outside with no shelter, otherwise they will keep themselves warm and happy as long as they have enough to eat.
I agree with Janian. They shouldn't need a rug. Donkeys (and horses) can handle cold just fine. What they can't handle is a combination of wet and windy. Then they might need a waterproof blanket, but they should have a shelter to stay dry in anyway. A blanket can actually make them colder by pushing down the fluffy hair, which is meant to insulate them from the cold.