They aren't trying to "tell you" anything. They are doing their own thing.
Many cats enjoy this sort of Solitary amusement. Every cat I've ever had, going back to childhood, has done this with a special toy of his or her own choosing. From my brother's sock to a an old plush key chain, a crumpled piece of paper, to a slipper to a plastic cap, and everything in between, I've always called it their "Solitaire Game".
There are as many theories about it as their are cats, almost.
Take your pick. Or just realize that it's just one of those wonderful mysteries of cats.
They do it because they are cats, and it is something they enjoy doing.