You need to find out what is triggering this reaction so you can help him deal with it. If you can get any info from the place where you adopted him, that would also be good. Something is triggering this reaction and he is going to what appears to be a safe place so he can calm down. It's like when you have a bad day and you hang out in your room until you feel better - this is no different. A baby will suck on a pacifier to make themselves feel better.
Unless he is harming himself, I would leave him alone. Your job is to help him feel safe. As long as you've provided him a place to retreat to where he can calm down, you're doing good.