If you had never let them out... they would probably be scared to go out and never known 2ny better. Some birds ( as individuals, breeds or lines) are better at confinement than others too as others mention.
For the first year I had chickens, when I was 13 years old or so... my first birds lived in a tractor and were NEVER let out. Well... when they were about 8 months old, my parents said, go ahead and let them range. I remember it being weeks before they started to really leave the comfort of their home. I have videos of me when I was a kid trying to get the chickens to go out in the grass and explore. And these were adult birds. It was after they got used to the freedom did they want to get out all the time.
Same differences can be seen with my caged indoor birds.
My cockatiel is scared of everything at first. Different colored pencils, different rooms, toys... till comfortable with it and then will not leave those things alone. He gets free roam of the entire place here and does not like being in the cage. Given a choice, he will be underfoot or on your shoulder all day long and sleep in the bathroom... but we don't allow that and he has to spend at least bed time and part of day time "cooped up" to eat and for his own safety (such as not flying into a pot of boiling water).
However, parakeets also get free roam but spend about 75% of their time IN the cage, and 20% on top. That last 5% are divided among the other bird cages or their bird bath. Once a week or so they will decide to take flight out of the bird room, do a few loops in the living room without landing and go right back home.
Animal behavior is always interesting.