By fandom lore, yukkuri are cave-dwelling creatures, thus they feel more comfortable in small, confined places. If you look, almost all yukkuriums also include some kind of small box with a bed in it for them to sleep on.
Generally after being scared/punished/etc yukkuri want to "go home" or "run away," and hiding in things are the result of that most of the time. Boxes, cardboard tubes, or other things that might be placed in a yukkurium.