Hi, I believe it's known as Pica and is a throw back to the days of wild dogs. No one really knows for sure why they do it but some dogs will also eat leaves, mud and the more obvious one of grass!
One of my Great Danes does it and will, while in the forest, find the wettest bit of tree stump she can find to gnaw on....I stop her for the most part but she's been doing it for three years now and has come to no harm.[Has some interesting poops though!]
There will, of course, be those who point out the dangers of splinters in the gut and mouth but to me it seems a pretty natural behaviour!
Lisa x