Some of ours chew on them, too, so we have to keep the bags out of their reach. But if you do let them play with grocery sacks, either paper or plastic, be sure to cut the handles first!
Years ago, our Dylan stuck his head through a plastic grocery sack that we'd left on the kitchen table with library books in it, waiting to be returned. When he realized he was trapped, he panicked and took off through the house with the sack around his neck and those heavy books bouncing around in it -- poor kitty, he was terrified, thought he was being chased and beaten, I'm sure!
It seemed like forever, but I'm sure it was no more than a few seconds before I caught him and tore the handle to free him. It scares me silly thinking of it -- it could have snapped his neck!