In van der Waals bonded or rotationally disordered multilayer stacks of two-dimensional (2D) materials, the electronic states remain tightly confined within individual 2D layers. As a result, electron-phonon interactions occur primarily within layers and interlayer electrical conductivities are low. In addition, strong covalent in-plane intralayer bonding combined with weak van der Waals interlayer bonding results in weak phonon-mediated thermal coupling between the layers. We demonstrate here, however, that Coulomb interactions between electrons in different layers of multilayer epitaxial graphene provide an important mechanism for interlayer thermal transport, even though all electronic states are strongly confined within individual 2D layers. This effect is manifested in the relaxation dynamics of hot carriers in ultrafast time-resolved terahertz spectroscopy. We develop a theory of interlayer Coulomb coupling containing no free parameters that accounts for the experimentally observed trends in hot-carrier dynamics as temperature and the number of layers is varied.