As previous members have said, it could be the smell (which, even to us, is quite strong) or the general upheaval and maybe lack of the usual places to settle down...
My two don't seem that bothered about paint, except they insist on making their mark for posterity - they will squeeze through doorways and leave hair stuck to freshly glossed architraves, or check on whether I have done the skirtings properly, and come away with paint on their ears and noses - those little imperfect bits serve as a lovely reminder of Mummy's Little Helpers !!!