I agree with the other poster.  It is like yarn or string to them, they want to play.  However, I would suggest that you not let them play with it.  Cats will eat strings and hair and it can get tangled in their intestines and make them very sick.  Also, they wont fully digest string or hair and can cause them a lot of discomfort when they poop.  (we have all see the poop-on-a-string problem). 

Get you cats a cat chaser or "cat dancer" toy, one of those feathres on the end of a wand, so they can have tons of fun playing with you, but not be in any danger!