What was Henny Penny afraid of when she declared "the sky is falling"? Probably everything.
Chickens are a classic prey animal. They are constantly afraid of being eaten. Why? Because everything wants to eat them. Snakes, eagles, raccoons, foxes... people... the list goes on. They have enemies in the air and enemies on the ground. Because they have so much to fear, they have developed a few survival tactics. Even modern chickens that are kept safe inside barns still express these innate behaviours.
Roosting
Even though chickens really aren't great flyers, they do have the ability to fly into a tree at night to roost. This behaviour protects them against ground predators, and hides them from aerial predators too. We even see this behaviour in our aviary barns where birds try and get as high as they can as the lights are dimming. This is a behavioural instinct that has survived even though the birds don't need to worry about predators any more. Roosting, which is similar to perching, is when birds find a branch or perch to hunker down on to sleep. They have a clasping mechanism in their feet that prevents them from tumbling down from the perch during the night, similar to songbirds.
Alarm calling
When a chicken is in trouble, or thinks they are, they make a loud squaaaaaawking noise. This is an alarm call. The function of an alarm call is to warn other chickens nearby of a threat, and prime them for action (think fight/flight response, though chickens tend towards flight). When I hear a chicken giving an alarm call, the next thing that happens is the entire barn goes quiet. This is my cue to be quiet as well. If the birds then sense real danger (or the alarm is sounded again), they will scatter.
Sticking to the walls
Chickens are fearful in open spaces, especially at first (think Henny Penny!). Until they become more familiar or comfortable, they operate under the assumption that everything is threatening. So when they explore the space, they will stick to the fenceline or edge of the wall or even a shadow created by a shrub because it seems safer. This is similar to what mice do when they stick to the walls when running from one end of a room to another (this is called thigmotaxis in the behaviour science world). What does this mean for chickens? Chickens are less likely to use a wide open range area, devoid of trees, shrubs or shelter, because they are afraid of being snatched up by an eagle or other predator. This is likely a behavioural instinct inherited from their wild ancestors, the Red Jungle Fowl, which are ground dwelling birds that prefer to live in areas with dense cover, especially when nesting. Providing some sort of shelter or cover on a range will help encouraging the birds to explore their environment because it will make them feel safe (see image below).
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