My dog keeps burrowing in blankets?

For as long as I can remember, my dog has had strange behavior. When Brownie goes to lay down he burrows. For example, he lays on my bed and when we all go to sleep he first like buries himself in the blanket. He will take up the whole blanket to do so too. I also sleep on my back and Brownie likes to lay in between my knees. What can I do to stop it because its getting very frustrating