Because it's a good place to raise young. Babies can be easier to protect in an enclosed space underground. Some animals, like the rosemary grasshopper and scrub firefly, lay eggs in the sand but don't make a burrow for them. Most likely, animals dig their home burrows deeper than the tunnels they make while looking for food. To escape fire.
Fires occur naturally and frequently in scrub.
Although intense, the heat from these fires only penetrates several inches below the surface of the sand. Animals can survive fire by finding refuge in a nearby gopher tortoise burrow, a rodent burrow, or in their own burrows. Scrub animals that live and hunt underground are especially adapted for life in sand. Most have body parts specialized for digging. Most likely, animals adapted for life in sand would not survive in habitats with other soil types.