A hedgehog will build its den where they feel it is safest; this depends on the species.
Because they are burrowing mammals.
There are a lot of reasons. Usually to protect itself from predators, but sometimes they bury themselves to look for food.
it likes the moist environment!
it wants to die
to protect themslfe
A couple minutes
it can protect itself at a young age
There are several animals that bury themselves. Lizards, turtles, hedgehogs and the scarab beetle all bury themselves in dirt.
The hedgehog and the porcupine.
Porcupines have quills.
They do not bury themselves but do live in underground burrows. They do so as they need a place to escape severe weather, predators and a place to have their babies.
Hedgehog Hedgehog