The most likely reason is they are finding something good to eat. To stop then you need to figure out what they are eating and get rid of it.
One possible culprit is some sort of insect larvae. Even in the frozen north they could be getting insect eggs out of the siding.
Another possibility is they have cached food under your siding. Blue Jays store food for later use and they could have found a good place under or inside your siding
In either case, inspect detect and remove the food source. Then seal the gaps or cracks in the siding with caulk or polyurethane foam. This should stop the Jays
