Clipse used to love sleeping in his crate. I would just have it in my room with the door off. Now that we have Ramone though he is crated when we leave so the door is back on.
It could be just a phase he is going through. I don't think I would beg and plead with him to come out, nor would I shut him out of it if it's what he wants. Could be he has learned that if he goes in there and looks sad then he will get lots of attention from you.
Personally if he is still acting normal in every other aspect of every day life then I would just let him be when he goes to his crate to sleep.