Gemara:Abaye’s mother raised a sheep with him to accompany him to the facilities. Why didn’t she raise a goat? Because a sa’ir (one of the names of a goat) can be confused with the sa’ir (the name of the demon of the facilities).

Ein Ayah:When a person is in an animalistic type of setting, it is proper for him to be in the company of an animal, but not a strong animal, as from a physical perspective, man is a weak animal, like a sheep. Being around a sheep at that time will remind him not to give up his intellectual side, which gives him dominion over the animal kingdom, and not to focus on the animalistic side, in which he has little to offer.
He should not prefer to be accompanied by a goat, which represents a more vocal and more assertive animal, because that might make him think that he can choose a more free-spirited animalistic life. Then he could get confused and not see the clear advantages of preserving his human intellectual side.