Warm air rises. When the tea bag is burned, it fills with warm air. When the warm air rises it carries the tea bag with it. This is similar to how a hot air balloon works.
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P.S. it's a lot cheaper to make these little things out of toilet paper folded into a closed-end "pocket" (fold two sides inward over each other, dividing the sheet in thirds, then fold the resulting strip/tube in half and open out the free ends to give the tube some volume and let it stand while you ignite it -- extra caution applies, since you'll have two separate bits of flaming paper taking to the air).