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.
this is because of when you were wrapped as a new born, the security feeling never leaves most of us, why, even on hot nights, you still feel a need to have a blanket, even, just a sheet
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