If they do, it could be because they want to feel more like part of the family, or it's just a particular animal's personality and that animal was matched with the person meant for it.
That is a happy ending! My SIL's boxer ran out the door one Christmas morning at the other SIL's house. We all watched in horror as she dashed into the street and ran INTO an car. She bounced off the passenger door, and seemed completely unphased!