Caillou is bald because when the character was first created, he was a very young baby who naturally would have little to no hair. As the creators aged Caillou to a toddler between the ages of two and four to experience situations typical for that age group, they decided to keep him bald so he would remain recognizable as the same character. This is not because of any illness or alopecia; it was a deliberate design choice to maintain his distinct look as he aged.
There are fan theories suggesting other reasons like medical conditions or illness, but officially, Caillou's baldness is simply a stylistic choice linked to his character's age progression from infancy to toddlerhood.
