There are several reasons why a cat might crawl under the sheets. Here are some possible reasons:
Seeking security: The area under the sheet is a hidden and safe space, where cats may feel more secure. This is especially true for cats newly arrived in a new environment, who may choose the area under the sheet as a hiding place to better adapt.

Curiosity: Cats are curious animals, and the mysterious space under the sheets may pique their curiosity, making them want to explore it.
For warmth: In winter, cats may choose to stay warm under the sheets, as the sheets can block cold air and keep them warm.