More from the BBC:
"The shells provide important protection for the octopuses in a patch of seabed where there are few places to hide.
Dr Norman explained: "This is an incredibly dangerous habitat for these animals - soft sediment and mud couldn't be worse.
"If they are buried loose in mud without a shell, any predator coming along can just scoop them up. And they are pure rump steak, a terrific meat supply for any predator."
The researchers think that the creatures would initially have used large bivalve shells as their haven, but later swapped to coconuts after our insatiable appetite for them meant their discarded shells became a regular feature on the sea bed." -- read whole article
If you want to read more about octopuses, the Wikipedia page has lots of cool stuff.