Horses are made to be out grazing. I learned this 30 years ago [How I Learned to Think Like a Horse] and have believed it fervently ever since.
Unfortunately, no one told Rodney & Milton.
They love their stall. We have one stall, attached to our run-in shed. It’s not the ideal arrangement, but the original purpose was never as a permanent horse house. It was a place for Mathilda while Previous Horse was off the property. Now, we use it for Milton’s morning feed and hay [Naptime].
Obviously, Milton likes to come in at breakfast. However, if anyone goes anywhere near the stall at any time – to pick up a bucket, or to clean – at least one horse appears at the door in an attempt to worm his way in.
The pasture is muddy, boring, and rainy. The stall is dry above and below, soft underfoot (and wonderful to pee on, apparently), full of food, and you don’t have to share eats with your roommate.
Virtual Brush Box 
I totally agree, but I don’t understand it either. We have three horses and two stalls. None want to be in, alone or together. If two are in, the one who is out wants in and the two who are in want out. If one is in they are miserable, even if it means they have complete control over their chow and the other two are mere feet away. It’s the same with the dogs and crates. (One out of three tolerates crating at night) I’ve stopped trying to make THEM happy and I do what works for me. Because if Mom’s happy, everyone is happy. Or so I’ve heard.
I totally 100% agree. Horses are made to be out grazing. My horses prefer to be outdoors even with the option of being indoors if they choose. But then there are also moments like you described, where they associate being indoors with being fed. In that case I’m sure they would much rather be indoors until the food runs out.
It might be that horses in general are meant to graze continuously, but that may not hold for thoroughbreds. It may be that the skills needed to be out all of the time may have been bred out of them in the pursuit of speed. TBs may find being out all of the time very stressful. A break from tiger avoidance in a stall could be relaxing to them even without food.
There are definitely horses who never completely adapt to outdoor living, but I’d say my guys are proof it’s not a TB thing. Five TBs, two of whom raced, three of whom did not, and all five DEFINITELY prefer being outside. They were incarcerated for about an hour and a half today while my farrier trimmed each of them in turn, and they couldn’t wait to get back out. In the cold and rain. I didn’t say they were smart.
Horses! 🙂