Is this normal toddler behavior? What to do about it?

My son will soon turn 4. From the moment he was born he coslept with us. However, he has been transitioned into his own room. But!!!!! Almost every night, in the wee hours of the night, he will get up and come check our door then go sleep in some odd random place. Most of the time we find him on the couch in the morning, but we have also found him upstairs on a bean bag. I've been told to get up and lead him back to his room without saying anything. Doesn't work!!!!!! He makes a game out of that and we end up with him right back at our door crying and beating on our door. So for now we just let him sleep in weird places. That bothers us though because we keep the house pretty cool at night and he gets pretty cold being uncovered. We used to leave a blanket for him but we were told that would not help stop that unwanted habit.....you'd think he'd prefer to go back to his cozy bed, his brother is nearby so he's not really alone. Any thoughts?