The likeliest explanation is that they are bored. If your grass has not yet come in well, or if they are in a relatively small paddock (like less than an acre or two per horse), I would bet you anything that boredom *is* the reason.
When you say they have hay available, how much of what kind and what quality hay? Like, if it is a round bale that's been sitting there a while, or if their hay tends to get stomped into the mud, or if it is not the tastiest of hay in their opinion, or if one or more horses are monopolizing the hay feeder and chasing one or more lower ranking herdmates away from it.
OTOH it is also true that sometimes horses develop obscure hobbies for no particularly obvious reason Or for temporary reasons -- every year, for about 2-3 weeks at the end of winter, mine decide they've had enough of it and they want something that tastes different and is available 24/7 (I portion their hay out 3-4 times a day), and for those 2-3 weeks they go after my wooden fences anywhere they aren't protected by hotwire. I use dish detergent as a good temporary anti-chew solution But at this time, they will also chew tree bark or fallen branches if the opportunity presents itself. I think they just have bored teeth. So I make sure the opportunity never presents itself and soon the grass gets going and they're happy again.
Anyhow.... bottom line, it is really never a very good idea to have trees in a paddock (or reachable from across the fence) and now you know why ;P
The proper solution, and the safest, is to fence the trees off. With electric on step-in posts right now, if that's all you can do, and ultimately with sturdy post-and-board or no-climb fencing. Make the fences *high*, so they are not encouraged to try to lean over, and use many boards relatively closely spaced so they don't try to reach between.
A much poorer (less safe for horses, less safe for trees) also-ran solution is to put 2x4 welded wire all around the treetrunk from ground level up to about 8' (more if you have tall horses). Cut it to the exact length that will snugly wrap the trunk, and carefully lace it together using strong wire. If you have any doubt, cover the laced-together seam with a roped-on length of 2x6.
I have seen it done with chainlink, but that has pokey edges waiting to snag an eye; chickenwire, which horses can rip through and then you have all those sharp points waiting to become vet bills; and old carpeting, which some horses will rip down and which is not good for the tree.
Really, fencing the trees off is the thing to do.