Because it is too tired to open the eyes while sleeping:P

to distracting sensory stimuli (lights, noises, etc.) can interfere with sleep, and closing your eyes visual input. also, closing your eyelids protects your eyes during sleep.

No one says that you have to. I like to close my eyes, otherwise I can't dream.

To prevent our dreams from escaping while we sleep.

We don't have to. There's this tough guy back in old China's history, Zhang Fei. And he doesn't.