Perhaps he sees it as "his job!"
Rotties love the idea of having a job to do. That may be part of it...at least when on a walk.
They also like to use their muscular structure! They're athletes. My girls have rearranged my wood pile a few times, just a heavy log here and there. They like to drag them around the yard.
In the house, mine often carry a toy, or a ball. My friend taught her dog to get the remote, and the phone. Nice idea for the dog...as long as you don't forget your own fitness needs.
Still another friend got a doggy backpack. When she did her walking errands, the dog carried a few things in the pack. (whether she needed them or not)