My small dog chases flies and any other type of insect. She'll actually stop playing with me to chase a bug at times. I think it's just because it's fun to her. She doesn't act upset or annoyed, just excited like she does when chasing a ball. It seems like just some sort of game that she loves to play. I think some of it is fueled by curiosity of "what the heck is this thing" and some just "it's moving...I want to catch it!" I think it might be a small dog thing. I had a cat in the past who would do this, too, but this is the first small dog I've owned and also the first dog I've seen who loves chasing bugs. (I have to keep her away from wasps though, she goes after those, too)
