Dogs will chew on almost anything, especially when they're puppies. Destructive chewing is a common behavior complaint made by people with dogs, but there's a destructive chewing problem in some cats, too.
It's called "wool-sucking," because wool sweaters and blankets seem to be the most attractive to cats who have this behavior. (Some wool-sucking cats, in fact, prefer plastic materials, such as those found in common plastic grocery bags.) The chewing isn't quite like a dog's total destructive gnaw-it-up, either: Wool-sucking cats typically work the same spot on a piece of cloth, sucking and chewing on that one spot and returning to it if distracted.
Some have attributed this behavior to a kitten's being weaned too early, or to the taste of lanolin in wool cloth. In fact, the behavior most likely has a hereditary component, since it's most common in the so-called Oriental breeds such as Siamese or their mixes.
In some cases, adding more roughage to the diet (such a pureed pumpkin) can reduce a cat's desire to destroy wool clothing and other household items. The best advice, though, is to put away what you don't want the wool-sucker to destroy and be sure your cat gets enough exercise. The more interactive play the better to help reduce nervous energy.