Some say its because they like it, others say its because they don't like it.... It could also be a loud noise and its bothering them.... or he's really paying attention and learning... I noticed that two of my male cockatiels shake their heads, but none of my females have ever done that . . . . & both of the head shakers are the one's that sing & whistle ... : S
I don't really know.. there's a lot of theories, if anyone knows the true behind it ... Please let us know !