Is the hair falling out or is it being mechanically broken? Have you checked the base of the mane to see if there is a lot of scurf/dry skin or mites? Is there an area in the stall/pasture/paddock where he can rub his neck to get at an itch?
The dry skin can be caused by either diet or the dry winter air, (same as you may have). If there are mites (little moving dots, can be yellowish) then you will need to use an insecticide for horses. You might also want to try a medicated shampoo in case it is being caused by a bacterial or fungal infection.