I was out by my shed yesterday and had some sawdust fall on me, looked around and saw 2 holes being actively dug out by the bees on one of the support beams for my shed's roof. I counted 9 entry holes, all the way from top to bottom. I'm guessing the whole piece of wood is hollow on the inside at this point. It's cedar and it certainly has not been stained in at least a decade.
The other support beam had only 2 or 3 holes in it, so they've probably been at this for a long time. I'd kind of hate to kill them or relocate them because it's only like 30 feet from my garden and they're still good pollinators. The shed is pretty old and a bit rickety at this point, so maybe I'll just let it go this year.
My raised garden beds are only like 50 feet away from the shed and they're made of unfinished cedar. I honestly wouldn't mind if they burrowed into those - I'd be happy to have them living in my garden. The males are fairly in-your-face aggressive (at least some of the ones living by the shed are), but they can't sting and they still pollinate like a normal bumblebee.