Even if it's boiling hot

I think it's because we believe there might be a monster in our room and when you're sleeping without a blanket or a part isn't covered by your blanket then the monster will take you and devour you. Well that's how I see it.

Unless you are utterly exhausted and fall asleep as soon as you lay down.

I feel insecure without a blanket.

How do you do that anyways?

You could get hypothermia if you don't.