He's probably doing it when he's tired.  Loki does it to "fluff" the blanket, although if he's on OUR bed he doesn't get anywhere, but I try to leave his fleece blankets around so he can "fluff" one if he wants.  Usually he will "dig" and then move over 3 feet and lie down.  All that work for nothing!  It's so cute and funny.  I compare it to a tired kid rubbing their eyes.  
