
I'm not a "behaviourist" but it would seem to me that he did this because of his insecurity. Being rehomed is extremely unsettling for a dog, and many seem to have the need to claim a space in the new territory. Bedding is popular for this because it smells (to a dog) very strongly of people.
Shouting at him won't help for two reasons. Firstly, you didn't catch him in the act, so he will have absolutely no idea why he's being told off, and secondly, shouting at an unsettled animal won't reassure him and help him settle down any quicker.
I have seen a book in the petshops called "Living with a Rescue Dog". I suggest you get a copy of this, and in the meantime keep him out of your bedroom.
Hope this helps.