It's instinctic behavior, creating himself a "nest" like wild dogs do! See, he's really a wolf-cousin, you know!
Yeah, both my dogs do this too!!! BOB,the little Terrier-like guy does it more.

Is she trying tofind her bone? lol
That's not so far from the truth either. Ginger does that with just about "every special" treat she gets. She's been that way forever!!! When Ginger gets a treat that is extra special, something she doesn't get very often - like a SoupBone, she doe NOT know what to do. She holds it in her mouth and starts "CRYING". I mean really crying. It's hilarious. She will go from spot to spot - jump on the couch and pull out a pillow, dig (not really obviously) and drop the bone. Then she will push it with her nose into a corner. Push the pillow back over the spot... and start crying. Then she'll "dig" it out, grab in and jump down and run to a corner. She'll pseudo dig the corner of the carpet, drop the bone and start crying. Same repeat to her bed... this goes on for as long as a half an hour. Meanwhile Bob is just nawing away at his bone wondering what the heck is wrong with this creature!!!