The Devas, being afraid of death, entered upon (the performance of the sacrifice prescribed in) the threefold knowledge (the three Vedas). They covered themselves with the metrical hymns. Because they covered (khad) themselves with the hymns, therefore the hymns are called khandas.

In plain words: The Devas (the gods) were afraid of death, so they turned to the rituals of the three Vedas, the oldest sacred books. They wrapped themselves in the holy verses for protection, and that is why the verses are called khandas, meaning "coverings."