Mulch provides a source of heat and food for roaches --- so the insects are attracted to the material. The mulch material, including pine straw, wood and other types of mulch, break down over time, producing heat. Roaches especially like the material when the ambient temperature is below freezing and an alternative shelter is not available.
Mulch provides a location for roaches to mate and produce offspring. Mulch material compacts tightly, producing even more heat during the compression process. Roach eggs can survive within the mulch without disturbance from humans.
Mulch material offers a dark home for roaches to live; the insects do not like light. The dark areas allow roaches to burrow and eat without fear of natural or artificial light penetrating the material. Mulch also blocks insecticides including sprays and traps unless you purposely move the mulch around and apply or spray an insecticide.
Remove mulch from around your home and spray the area thoroughly with an insecticide to eliminate the roaches. Replace the mulch with bare soil or gravel, which repels roaches. Also, seal any crevices and cracks outside of your home where mulch used to be --- this will keep any lingering roaches from entering your home.