Some rats are really hyperactive and curious and need to release pent-up energy in other ways than just toys; they're very social animals. Nezume probably likes to get out and see something new, perhaps explore a little bit. Unlike toys, a person is always changing and always giving them something new, which is probably why Nezume wants attention. You should probably get her a play-mate.
Choco's the same way, but he's been spending more time snuggling with Yuki lately--I think he's trying to make Yuki feel better. He's really happy when I open the cage to play with him and Yuki, he's not the type to sleep all day. Before Yuki got sick they were playing all the time...it was really good for both of them.