Aside from it possibly being an object that is particularly special for them, your dog may be trying to get a game started that way (or think that by keeping something from you, something good will happen) and/or trying to let you know that they'd like to be provided with fun activities for their brain & body to focus on instead. What you should do if your dog isn't big on sharing his toys with you is practice sharing other, less valuable toys or objects, especially when your dog is feeling mellow or tired, and reinforce that with treats, to more easily create a relaxed and positive association with sharing.
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