I always have that question on my mind too. I have observed that cats really love boxes because when my cats where still kittens , I would place them in a cushioned beddings but after they grew , all they did was to scratch the cushioned beddings and sleep outside . 

        Now, if you can see in the photo , I intentionally placed those boxes where they sleep and relax to observe what will they do. And to my surprise they went inside the box and slept. Maybe they feel safe and secure inside the box. Or, they feel warm when doing it.

    Are there any cat lovers here? Have you observed what I have observed too about cats and boxes?