Because they are goofy kids. Most of my adult birds stay in the shed. The young ones keep going out. I don't think they understand what's happening and where's the warm they are used to. You may have to step in and make decisions for them until they are more mature. Mine thankfully are a bit older. If they are fine goofing in the straw than I would leave them be but check on them occasionally.
They may be too young to know what’s good for them. Mine went into the coop by themselves all summer and did well. When cold weather hit they wanted to sit on the outside roosting bar in covered coop/run even in cold weather. I did start putting mine in the coop at night and put weather tarp on once it goes below freezing as below freezing becomes frostbite risk. Since run is covered it does not get snow on ground. We kept a lot of leaves in there through fall for free mulch and it provides warmth. Bought some straw if need it through the winter here as well. I invested in poultry water heater as got tired of knocking out the ice. It really is a heated dog bowl from Amazon that we turn upside down and put our water fountain on cuz the chickens wouldn’t stop knocking over the bowl. We are below freezing and it keeps the water from freezing. I also put a K & H heated pad that is fire proof in the coop since my temps are now below freezing and I was concerned regarding the cold. My chickens are doing fine so far. I wasn’t initially going to purchase the heated pad but I had icing on the coop inside and now I do not. Above freezing I am not too much concerned they seem to do fine. Another reason to go in is to make sure they are not attacked by predators. When I put mine in at night- I just wait till after dark and pluck them gently off the roost and place inside. You would think after several nights of doing this they would get the picture no they seem to like it outside but I put them in when it’s below freezing.
They may not be cold....they may just be checking out the new straw. I have 8-10 week olds in their new coop and it was in the single digits last night. They don't have access to the run yet as we are tweaking it before we let them outdoors. Keep an eye on them but they may just be checking out the new toy in the run.