Why does our bichon frise do this?

Security blanket?

^ Possibly. Dogs are soothed by using their mouths, much like babies. That’s why Kongs are such great toys.

Other than that, maybe add some more details? What’s he like, on walks and in general? Does he grab his toys on other occasions?

He grabs a toy the second I get up in the mornings. I think he wants me to throw it across the room. He does this in the evenings when I watch the news also. Grabs a toy and plops it on my footrest.
He is such a sweet little guy.

That’s very sweet! I grew up with Flatcoated Retrievers and this was a particular trait of all of them. Dogs, like us, have very individual personalities, some enjoy/are comforted by toys more than others. I work with a Labrador who always grabs the nearest thing he can whenever he gets excited and the other day I went to see him and he found the tiniest stick (it was a twig, it was so small) and was walking (and wiggling) around with it hanging out if his mouth like a cigarette!!! Of course for his own safety I took the stick off him and trades it for a ball but it was still really cute how he just grabbed the nearest thing he could find no matter how ridiculous!!!

@Aster Sounds like a happy little dog :)