Justyna,

This is very interesting.  Surprisingly little is known about the presence of insects and other arthropods in bird nests.  Here in Georgia USA, we observe many beetles and other insects, as well as mites, in nests.  Here, most of the beetles are scarabs.  However, we do find mostly adults, and not cocoons or other puparia.  I have attached a couple of links here to some of our work.  It is preliminary at this point.  I hope you find it useful.

Best wishes, Bruce

Article Utilization of bluebird nest boxes by insects at diverse sit...

Data Conn with Conn et al 2004 Insect Utilization of Bluebird Nes...

Thank You for the answers :)

I know well this article about wrens, this is the only one which I know about the arthropod cocoons in bird nests.

I rather expect observations, e.g. this year I observed cocoons in the nest of red-backed shrike. I wonder how much bird species can use this nest material and what is the function of this behaviour. :)