The main reason puppies chew objects is to help sooth and loosen the gums around their teeth which allows the 'baby' teeth to fall out and the new teeth to come through. Different textures offer interesting sensations which makes it even more appealing and of course dogs have no sense of how much an object costs, they are only interested in how it feels in their mouths! Puppies can also chew when they are curious, excited, bored or anxious.
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