It's natural for your bird to feel like the cage is their "safe space" and not want to come out. Don't feel like you have to force them out of the cage, and it's more stressful for them if you do. It's best to give them the option to come out if they want (i.e leave the cage door open when your'e there to supervise for an hour or more a day) but not to force them
To incite their curiosity, clipping millet farther and farther away from the cage gradually is a good idea, or putting a play area with lots of cool toys near their cage is also a good idea to pique their interest. Eventually they'll get more comfortable with venturing out of the cage on their own.