my pink spotted does the same, so its normal, he slowly swims around the tank picking up the 10 blue legs i just recently added and carries them to the front of his cave and just drops them, so as he's looking for more, the ones he already moved are starting to get away
so it makes it fun to watch all day, on the other hand i have 2 veteran red legs that sleep under my rock anemone, during the day they rub their shells into the tentacles of the rock anemone for a few minutes, not sure how long but i see them do it, then go about their day in the tank like a 9-5 eating up the crap with out being bothered by the goby not once, so if your looking to stop it, consider an anemone to give the shell a protective slim against being picked up and moved, im also sure they wont be eaten after the goby gets stung...happy reefing