7 "squirming on the pillow trying to get coozy." ?

I noticed my 7 year old door closed. When I went to investigated, I noticed his clothes were off on the bed and he was under the covers. I yanked the covers off, only to find him naked. I asked him several times what he was doing and he said that he was "squirming around on the pillow trying to get coozy." I asked him if he had every seen anyone do it and if anyone had ever done it to him and he said no. I know he was scared and knew he was doing something wrong because my tone said that I was not happy. He responses seem like he was searching...making up stuff. Is this normal? What do I do? I think my angry stems from fear! Should I be concerned?