
To keep warm, that's why.
Longer version: it was about 12F when I took this pic, and there's no shelter whatsoever in that pasture. That's a heaping pile of cow manure and stable sweepings. Cow manure gets really not as it decomposes; in fact, there's an occasional spontaneous manure pile fire around here. So the cows are keeping warm by standing or snuggling into the manure pile!