What are they not in bed

We need more info than that.

You called them caterpillar bugs. Are they caterpillars? Also, when you say "why are they not in bed", what do you mean? Why aren't they in your bed, or why aren't they in a cocoon, or something else?

More info, a picture would help, knowing the general area you live in would help, the size, color, etc. of this bug would help.

But, with what you posted, there's no way to even guess.

Caterpillar is the common name applied to the larvae (pre-adult) stages of butterflies and moths. The larvae of other insects that are also fully metabolous (the flies, wasps, beetles) are commonly called maggots, grubs, and worms. If you know enough to have accurately identified a caterpillar, then you are looking at a pre-adult butterfly or moth. While there are some moths that are household pests, if your specimen was large, or colorful, hairy, or highly ornamented, then its occurrence in your house, and not in your bed, was likely an incidental intrusion from your garden. Look outside, you might find more!