For the most part ours did too, but it depended on the tank. With some of our tanks they have shelves high above the bedding so they couldn’t bury them unless they were really determined.

Me and my partner have had multiple clans of gerbils over the last 7 or so years and every single one has always had a coconut and they have all gone wild for them. Often just hanging out in them but also a cuddle pile. It got to the point where whenever we went to get any supplies for a new clan, we would insist on one as part of their initial setup.