Insulation

I've noticed today that there are some sparrows taking the insulation from under the roof tiles over our porch. They seem to be taking it and putting it in the hedge, I'm guessing they're trying to build a nest with it. My first instinct was to let them keep it (it'll probably make them nice and warm), but I'm not sure if it might be harmful to them. Does anybody know? I don't really know much about the insulation, it's orange and seems a bit lighter than the yellow stuff you normally find in lofts.