That was S6E15 "Paradise Lost".

JONAS: It's not Ancient but it's definitely a language belonging to one of the races of the Ancient alliance.
JACK: Nox? Asgard?
JONAS: Furlings.
JACK: Oh no, not those guys.
JONAS: What?
JACK: Oh I don't know, I just can't imagine cute little furry things making big powerful weapons, that's all.
JONAS: I don't even know what they look like.
JACK: "Furling". Sounds cute and fuzzy to me.

Also that barbershop floor sweeper guy's similar comment in S8E15 "Citizen Joe".

BERT: What about the Furlings? Are we ever gonna hear about them?
JOE: Oh, of course. I'm sure we'll hear lots of stories about them. I mean, I'll make one up.
GORDIE: "Furlings". They sound cute, like Ewoks.

And we saw Martin's fictionalized depiction of them in S10E6 "200"

But I agree with the previous comment, that they're probably not furry just because their name sounds like the English word "fur".