We have a pet hedgehog. He runs on his wheel all night long. As a matter of fact, he runs so much he breaks a wheel about every 2 months.
We had two hamsters. They ran on their wheels.
They run because they like to. Even wild rodents will run on a wheel placed outside (they have a video too).
Mice came to the wheels like human beings to a health club holding a spring membership sale. They made the wheels spin. They hopped on, hopped off and hopped back on.