My first born was always in his own crib and bed, but my ex made me keep the second child in the bedroom next to the bed in a bassinet. This of course leads to the baby sleeping with us... Well, he is a big kid and the second time he actually kicked me off the edge of the bed I had enough. We had a queen and the baby started sleeping across the width of the bed instead of head to toe.
I asked my pediatrician about it and he said let him cry himself to sleep... well he cried all night long in his crib and after 3 weeks of sleeping and waking to a screaming sobbing 18 month old I couldn't take it anymore. I discovered that he would sleep with his older brother and be happy, so thats what I did.
They slept in the same bed until they were 6 & 4, at which point I got them bunk beds. They stayed in the same room until they were 10 & 8. Sometimes I still find them in the morning sleeping in the same bed and they are 11 & 9. Some kids just don't like being alone.
Some of it is pheromones. Try putting your pillow on their bed and perhaps even wrapping their mattress in sheets from your bed. Kids beds are also hard as a brick, a stark comparison to your soft comfy bed. Get a thick matress pad or something to make their bed more snuggly (put plastic sheet over top of that if they are young). Kids sheets are also rough and poorer quality than what you probably use. Be sure to at least buy a higher quality pillow case so its not rough to the touch. Some of it is also body heat, some kids get cold. Try the PJs that are one piece with feet and be sure they have enough blankets. A water bottle or even a heated blanket may be in order.
Good luck.