The mice are having sex with the cheese.Mice don't actually crave cheese, and will prefer practically any other food given a choice. The reason why the mice in the game are collecting cheese is not to eat it but rather to have sex with it - notice the swarms of red hearts gushing out of the hole upon successful delivery. Now you might think that's the mice having a celebratory orgy, but it happens even when the first mouse gets in. And the only thing bonkable at that point is the cheese.
The mice are in Hell or Purgatory.That is why they are trapped in an endless cycle of collecting cheese. The shaman is only a demon sent to either aid or hinder their progress, the hats and accessories are only illusions the mice create to cope with their situation.
The mice are in Valhalla.Just like Vikings will go on to fight and feast for the rest of their days after they die, so do mice spend their afterlife doing what they do best - collecting and eating cheese.
The holes aren't what they seem.There are holes in all the walls that fit the mice that need to go into them exactly? And why exactly do the mice have to go in them? Maybe it's just because the holes were made for them?
The cheese is the source of the Shamans' power.Collecting cheese increases your power, and the most powerful mouse ruthlessly suppresses the others' power. Occasionally something weird happens, and you get two shamans or no shaman.
The most of the game takes place over the Devil's kitchen sink.Cheese is commonly located in a kitchen. The mice, upon death, turn into a bunch of bubbles. The reason it being the Devil's kitchen sink is because some maps contain lava.
All of the mice are moms trying to feed their kids.All of the mice are girls (French for "mouse" is femenine by default.) The hearts gushing out are babies greeting their moms when she comes home. Now contemplate what happens to those babies should you fail....