I say "my Legos" all the time.
I would love to go to Legoland. I'd be the maniac who wouldn't leave when it was time to close. Shit, last time I went to the Lego store in Disney, I was becoming very impatient with the amateurs getting in my way. I had a lot of shopping to do! People just started avoiding me and panicking and moving themselves and their family members out of my way. It's all good.
So, A.Dulterer, I knows how you feels.
As for Cozmo's bafflement over Lego-Lovin', I guess it's just the joy of building anything in the world that comes to your imagination followed by the complete obliteration of it (afterwards) that just brings so much enjoyment to me. You can imagine a whole scenario for your creation as you build it. Like, "I'm gonna' put a bay window here so that I can look out over the ocean from my kitchen." And, instead of having to share your finished creation with anyone, you smash it before they get to see it!
Plus, you can get a lot of thinking done when you play with them.