I've noticed this with my cats over the years and with the cats of friends and family. Quite often, though not always, the cat will tuck their head down and under, perhaps into a pillow, a gap in a couch, or even into the crook of your arm. The question is... why? It seems counter-intuitive to self-defense to do that.
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The only part of the cat's body that has no fur is the nose and the bottom of the paws. Note that all of these are protected in the tucked in position – Oldcat Apr 22 '14 at 21:11
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If you could ask the cats why they do it, they'd just tell you it's comfortable. Most mammals adopt that kind of pose when sleeping, so this is probably something that cats get as part of the standard package of behaviors that come with being a mammal. We don't do it because our spines don't flex enough in the right directions to let us do so... but even so it isn't unusual for humans to curl up in "fetal position", especially when cold – keshlam Jun 07 '16 at 02:12
2 Answers
It is not so counter intuitive for a cat to sleep curled up as you suggest. Protecting the head whilst sleeping is not counter-intuitive for safety. If you think about it, it is, perhaps, the safest position to sleep in. The back is exposed and all the soft belly and face is protected. Even the hard skull at the back of the head is a like a little armour.

As opposed to a stretched position, where this picture illustrates well the soft underbelly that the cat is protecting.

Dogs will often sleep rolled up in a ball also, it's good to observe when they do and when they are relaxed enough to lay out stretched, or even have a play stretch.
It's also noteworthy that animals will find the safest place to sleep.
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1Many of them will find themselves hidden spots to sleep, too, or places where they're camouflaged (we might not think so - they don't see colors the same way we do). – Kate Paulk Nov 11 '13 at 13:09
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1Mine sleeps between a chair and a wall, which conveniently is also right in front of a heater vent (I live in Minnesota, so we need heaters on in the winter, in case you live in warmer climates) – The Ugly Nov 12 '13 at 21:44
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Mine will paw open low cupboard doors and crawl up into the drawers to take a snooze :p – Nicole Rae Apr 22 '14 at 22:11
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Curling up vs stretching out is also a way for the cat to regulate its temperature. Watch how your cat sleeps on hot and cold days, or in the sunlight. Curling up conserves heat and stretching out sheds heat. People sleep the same way as well. Some cats also like to cover their eyes when they sleep (presumably to block out light) like people. – Beo Apr 24 '14 at 21:48
An additional thing to consider: Cats like warmth. Curling up vs stretching is the ideal sleeping position to maintain body temperature, or keep warm when the temperature is cold for all animals, as well as humans. Taking that into account, tucking one's head is an additional way to keep warm.
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