Probably because the walls create a sense of security.

There’s an old trick you can do where you make a small square on the floor with masking tape. Your cat will sleep the square and sit there as they perceive it as more enclosed than, say, your living room. Cats, being predatory animals, prefer to stay hidden. That’s also why they will claim any cardboard box you have as their own.

They cooked that cat slowly in its own fat?

related (NPR)