Ahh...I've no idea whether mine did that as the fibreglass was piled up in a relatively inaccessible corner of the loft so I never investigated. I simply deemed that to be well insulated (ie about a cubic metre filling the space) when I got around to replacing the rest of the fibreglass.....
Wouldn't fancy nesting in fibreglass myself though - maybe they run around a lot because they're so itchy!