Mud can be ground to dust and blown away to form an even layer, but it almost never forms dunes of dust. When dust does form little dunes, they quickly erode under the force of rain, but sand does not. Sand is a bizarre and sometimes confusing material. When dry, sand pours like a liquid, but under a sudden shock, dry sand acts like a solid and can support a great amount of weight. When wet, sand acts like a solid and can be easily shaped.
Water creates surface tension that holds the sand grains together.
Small burrowing animals that live in scrub benefit greatly from these simple facts of physics. Sand grains spread the force from shock or pressure away from the point of contact and help prevent a burrow from caving in. Surface tension keeps the sides of a small burrow from collapsing. Surface tension also allows small burrowing animals, such as ants, to bring up sand in little clumps rather than grain by grain. Clay is probably a better soil for building burrows than sand is, but excavating sand is much easier for most small animals than digging a burrow in clay.