He's doing it because that's what dogs do. He sees absolutely nothing wrong with playing with them or even eating them - he's just being a totally normal dog.
Since it upsets you, treat it like any other forbidden thing, "No! Bad! Drop it!" And then give him a toy he can have.
But you have to understand, he has no concept that these are living things that can suffer. None at all. So you can't be mad at him for that, he just does not, and cannot, understand. Just like you can't follow someone's scent through the neighborhood, he can't understand.
Since it upsets you, treat it like any other forbidden thing, "No! Bad! Drop it!" And then give him a toy he can have.
But you have to understand, he has no concept that these are living things that can suffer. None at all. So you can't be mad at him for that, he just does not, and cannot, understand. Just like you can't follow someone's scent through the neighborhood, he can't understand.