There may be several things going on when your kids say this.
Maybe they've recently come out of an environment where they were micromanaged and directed by others (i.e. school, daycare, even some co-ops are like this...bossy friends or siblings who directed their play, ha)...
If that’s the case, they may be having trouble connecting to the part of their own mind and heart where inspiration comes from.
Take a moment to talk with them.
Ask them if they want to be inside or outside.
Ask them if they want to move their bodies or be still.
Maybe they're looking for an opening to talk with you about something that they're upset about, and just need a minute to connect.
Let them know that you're happy to help them solve the problem, IF they want help solving it.
I actually do NOT believe that it’s your responsibility to entertain your child 24/7 - but if it's really just your company that they want--make a point to have dedicated time with them, without your phone in hand.