It's possible that dense feathers were primarily selected for insulation, as body size decreased in theropod dinosaurs on the evolutionary pathway to modern birds, feathers could have then later been co-opted for sexual display or flying.

Robin Dawson

Dinosaurs sit at an evolutionary point between birds, which are warm-blooded, and reptiles, which are cold-blooded, our results suggest that all major groups of dinosaurs had warmer body temperatures than their environment.