Most of the skin on your body is actually covered with tiny hairs called vellus hairs that give your skin a slightly velvety, peach-fuzz look. With male pattern baldness, the hair follicles shrink and turn into skin cells, so there are no hairs at all not even vellus hairs. But the scalp is particularly shiny because of the sebaceous glands. These secrete oil and are found all over our skin, but the scalp has a lot more and this oil coats the skin and provides a more uniform reflective surface. Whats more, studies suggest that more active sebaceous glands could actually play a role in early hair loss.
Science Focus, November 2018 ; http://www.sciencefocus.com