Grey squirrels build large leafy nests, sometimes two or three close together. Red squirrels on the other hand, will make grassy balls,lined with bits of seed fluff, grass, leaves, and whatever comes to hand. Last year, a red squirrel gathered quantities of dog hair (from a long haired dog that had been groomed in the parking lot)and stuffed its nest with it. Nests made in conifers, the typical nest tree for red squirrels, provide more protection, as you can see in this attached photo. However, both squirrel species prefer cavities, which are safer and offer much more warmth. Red squirrels in particular, will choose a cavity over a grassy nest anytime. Often you'll see a fairly fresh grassy nest, probably built in the autumn, falling to pieces by November because the squirrel has abandoned the nest for a better place, usually a cavity. In fact, grassy nests are not used for winter as much as people seem to think.