Underwear Bears

This is what my wife and I found in the living room the other day.

Yes, those are two stuffed bears dressed in my 4 year old's pajamas.  What's that on their heads?  Yes, each bear has a pair of my 4 year old's underwear wrapped over the head as a bandanna.  Why?  Don't ask!  I have a Ph.D. in astrophysics and I'm clueless!!!  :-)