When I had a organic vegetable growing plot in my garden, in late summer I saw a pregnant hedgehog gathering up dried vegetation and taking it back to her nest. She seemed to know exactly what she was doing so I wasn’t at all concerned.
I’ve now got another living in one of my hog houses that knocks the straw-indicator out of the entrance during the daytime. I’ve never actually seen her out. She also comes out a little before sunset.
Then there was the incident during this year’s dry spell when I watered the climbing rose by the fence and an indignant (and quite wet) hedgehog abandoned its hiding place under the mulching vegetation.
I’d only be really concerned if I found one wandering aimlessly and maybe showing other signs of distress.