bunny question

I fenced in my yard this summer and now I have two rabbits living making it
their home.
But they have no shelter.
Is that natural?
Whenever I come across them, they are just sitting in a little indent they
have made.
Even when it is cold and raining.  Even at night.
They no longer run when they see me.
Today I handed one a carrot.  Sort of.  He didn't "take" it.  But neither
did he run.
But it was raining and he was drenched.
Is there something I can do to provide a natural way for them to have
shelter?
Kinda concerned about the coming winter.