"Plaything", a short story by Larry Niven, first published in Worlds of If, July-August 1974, available at the Internet Archive. You may have read it in one of these compilations.
The story is about an unmanned probe that lands on Mars and is discovered by some Martian children.
The children were playing six-point Overlord, hopping from point to point over a hexagonal diagram drawn in the sand, when the probe broke atmosphere over their
heads. They might have sensed it then, for it was heating fast as it entered atmosphere; but nobody happened to look up.
The Martians talk to each other with heat instead of sound.
The children talked to each other in coded pulses of heat, opening and closing their mouths to show the warm interiors.
The Martian children extract heat from the probe.
The children began rubbing against the metal skin, flashing pulses of contentment as they absorbed the heat.
Adult Martians show up. They are warmer than the children.
Suddenly an adult stood among them.
WHAT ARE YOU DOING?
Nothing, one answered.
Just playing, said another.
WELL BE CAREFUL WITH IT. The adult looked like the twin of any of the six children. The roof of his mouth was warmer than theirs—but the authority in his voice was due to more than mere loudness. SOMEONE MAY HAVE GONE TO GREAT TROUBLE TO BUILD THIS OBJECT.
One of the Martian children is caught by the probe's camera.
ABEL stopped. A box at the front lifted on a telescoping leg and began a slow pan of the landscape. From the low dark line of the Mare Acidalium highlands on the northeastern horizon, it swung around until its lens faced straight backward at the empty orange desert of Tracus Albus. At this point the lens was eye to eye with the hitchhiking child. The child flapped his ears, made idiot faces, shouted nonsense
words, and flicked at the lens with his long tongue.
THAT SHOULD GIVE THEM SOMETHING TO THINK ABOUT
WHO WOULD YOU SAY SENT IT?
EARTH, I WOULD THINK. NOTICE THE SILICATE DISC IN THE CAMERA, TRANSPARENT TO THE FREQUENCIES OF LIGHT MOST LIKELY TO PENETRATE THAT PLANET'S THICK ATMOSPHERE.