It isn't known why they do that, but there are a few theories on the subject. One is that cats usually seek warmth in circles because their beds are normally in a circle shape. Another theory is that its a sense of security like when you see a cat hiding in a litter box or something like that. The last that I know of is it is like a new territory that they want to claim because they never seen that circle before. - here is a website on it
http://www.dailymail.co.uk/news/article-2840233/The-great-moggie-mystery-s-question-s-got-internet-purring-cats-sit-circles-refuse-move.html
Cats are evil spirits enclosed by magic circle
http://www.dailymail.co.uk/news/article-2840233/The-great-moggie-mystery-s-question-s-got-internet-purring-cats-sit-circles-refuse-move.html