Yes- chickens- at the point of death will flap and move their legs (remember the quote about running around like a chicken with it's head cut off- this can actually happen). It is not that the chicken was afraid or in pain & fighting to get away, but that random nerve firings are causing muscle contractions. It can be very dramatic in chickens. Wrapping them in a towel, or similar will decrease the flapping, but it will still happen. The killing/restraint cone prevents it somewhat when bleeding a chicken out, but it is to prevent bruising the meat and to keep things more calm and clean. I would not recommend cutting the neck to bleed them out as the humane choice for a pet chicken- this takes several minutes to die- it is for creating a tasty meal, not for instant death. I would recommend decapitation or other method of instant brain death. Inhalation of pure CO2 is no longer considered humane by most labs- it is not lack of O2 that makes us feel like we are suffocating- it is the buildup of Co2 in the system. Car exhaust is a combo of many things- including CO, Co2 and lots of smelly nasty stuff that is unpleasant to breath for anyone including a chicken. I know you have already done the deed, you did fine- and your chicken very likely felt next to nothing before she passed.
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