Greetings. This is my first acton in straightdope forums as I just registered tonight. This one seemed safe enough to get my toes wet.
As a kid, I raised rats & mice to sell back to pet stores; also had every other critter possible at one point or other. I’m going to make a quick guess here that aside from that wheel there is probably a water bottle and a simple shelter (paper towel roll, cardboard box, etc…) and maybe a food bowl, if you bother with one, in the cage or screened aquarium the rodent resides in. You may have noticed as I did that catching that little sucker in the wheel is harder than grasping it in a corner or in its box. So did it. Also, even when cornered and your hand is closing as you catch it in a corner, its legs keep moving while they can; even if you lift it by the tail. The wheel is as good an option of somewhere to run as it has. Wherever it runs, it will keep running if it can. To answer your question straightly IMO: they ain’t that stupid; they just can’t do much else.