My Xena (4 yr old calico spayed female) does something similar: she has a collection of little fuzzy balls that she carries in her mouth, dropping them and batting them around at times. The very strange thing is this, though: she sometimes meows almost as if she is in pain while she is doing this--very high pitched and plaintive. She looks as if she is just playing, though. When I check on her she just looks at me like I am the strange one! She does this mainly at night and/or if I have somebody over.