I don't know what it is about the hay that gets them so excited. They have plenty of dry weeds in the yard to yank up and fling around. Maybe it's the scent? Or maybe there's some kind of innate chicken sense that says, "Yes, I am a farm animal, and farm animals love hay." All I know is, no matter how many times I chase them away from it, the hens just keep coming back to the hay bale.
On the bright side, I'd rather the chickens pick at and obsess over the hay bale than my vegetable garden. I chase them away because they make such a mess, throwing hay all over the patio. But, really, I'd rather have a messy patio than come outside to discover they've pulled up all my bean sprouts.