I’ve heard they climb the glass when they’re looking for food and can’t find any in the sand bed.
Generally, people recommend large tanks and waiting until your tank is established before trying these (or pretty much any) sea stars, and the star survives on detritus in the tank. Unfortunately, even in a lot of these tanks, after they finish clearing the detritus from the sand, they typically starve.
My current advice to avoid the star staving - which may or may not help, I genuinely don't know at this point (it could take someone months to years of testing it to find out for certain, as sea stars can last months without food):
Target feed the star things like clam on half shell, oyster, mussel, scallop, etc. (bivalves); snail, whelk, conch, etc. (sea snail gastropods); and a good quality omnivore food (like LRS Reef Frenzy or Fertility Frenzy). These are - according to the best sources of information I can find - the sorts of foods sand sifting stars consume in the wild, and the star should swallow these foods whole if they aren't too big - you might need to experiment a bit with the size of the pieces offered to get it sized just right, but generally I'd say err on the smaller side.
If you decide to give it a shot, let me know how it goes, and keep me updated on the long term survival of the star!