This is funny! If I were to guess, I'd think that it is their burrowing instinct - to have a little place that is "their own" where they can put all of their stuff. Of course, most doggies will bury bones and stuff like that. When Muffin was little, I remember she took one of her treats outside and buried it in some soft dirt at the edge of the patio and then dug it up again and ate it!
