I think there are 2 pieces here they enjoy:
1. The heat from your body is something they are naturally inclined to press against when their core temp starts dropping.
2. The security of having their body pressed against something. This is an animal that is very uncomfortable in open spaces. Basically, they have a strong tendency to have their body pressed into a small space or gain security by kind of securing themselves against anything they can.
But also it is not impossible that it's simply curious and recognizes your hand as friendlier than the unknown cold bed sheets.