Why Are Chickens Sleeping In Nest Boxes

I couldn't tell you exactly why these girls want to sleep in the nest boxes rather than on their roosts. I don't know what your coop is like, how and where the roosts are.

My guess would be that they stay warmer all nestled in to a cozy nest. Legs & feet would be warmer, so they could use their energy to keep the rest of their bodies warmer.

It's important that the coop be draft free in winter, and that it be free of dampness, especially at night. It's possible that the nests are less drafty than the roosting area.

If the girls have entered their natural break from laying, it's unlikely they are feeling broody and most likely they just want to feel warmer through the cold nights. Not laying allows them more of their physical resources for staying healthy.

The only reason I don't like my hens sleeping in their nests is that they tend to poop, so nests get dirty faster. The warmer they can stay in winter, the healthier they will be.

Chickens are tough creatures and generally don't need supplemental heat if fully feathered and mature, and if they have gotten used to the cold temps as they drop through fall & winter. They have usually shed old feathers and grown new and more insulating feathers during the fall molt.