Chickens do that naturally because they like to scratch. I had a lot of trouble keeping straw in the nests too. Sometimes they would pull it out as fast as I could put it in especially if the straw contained significant seed heads. Sometimes they would pull it out because it was too coarse and filled with thick reeds making for a stiff nest but if I put the finer stuff back in then I was back to a lot of seed heads.
I went to pine shavings and things got better. They still scratch and burrow a bit in the nest but they don't dump out the shavings like they did the straw. I find Bear Mountain a good brand as its chip size is bigger and better for bedding...some of the other stuff is so fine it tracks everywhere. Some believe pine is bad for chickens but I know an awful lot of farmers who use it and I have had no issues. Just be sure your coop has good ventilation which it should have anyway. Pine shavings also has the advantage of composting better if that makes a difference, and it amends my thick clay soil better.
Also be sure you are giving them enough depth to burrow into...with either nesting material.
My experience
Lady of McCamley
I run sand in the Floor of the coop and my brother in law is a Hay/straw farmer and thats what they has always used in there coop. Ill see what happens when they start laying thanks for the Advice.
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