He doesn't know you and your home very well, and may be stressed out by being out of his cage home. Wait at least another week, until he will come to your finger, and feels comfortable there. Unless you are the only person in the family, others need to be very careful about open windows and doors, or you will no longer have a bird. It's best to have its wings clipped before you give him much freedom.

I got a new budgie on Sunday and generally he seems to be settling in well. I am taming him so we can let him out of his cage and he is already pretty tame (he gets on my finger, doesn't bite and lets me stroke him). The only problem is, when we let him out of his cage he seems to get very clingy and sleepy and practically lays in our hands while we stroke him. He also gets very fluffy (which I know can be a sign of a bird being unwell) but he still tweets. However, as soon we we put him back in his cage, he starts to play around and seems normal. When he is in his cage he seems fine, it's only when he is out of the cage that he changes. He is always very eager to come out of his cage whenever I open the door, like he wants to come out and play, which is why I can't understand why he just goes fluffy and sleepy once he is outside. Also, when I put him with my other budgie, he is really playful and again seems normal and acts like he does when he is in his cage. What could be the cause of this?