My cat will go under the blankets in bed when it's cold out. He figured this out after many years of living here. Some nights it still takes him a while to figure it out. He'll jump on the bed. I'll lift the blankets. He'll peer under there like he's never seen this scenario before in his life. After several cautious minutes he'll usually settle down. If I try to speed up the process by putting the blankets on him, he'll run out of the room