Oh yeah? Well, often I realize, in the middle of a dream, that I'm in fact dreaming. At this point I often try to change the circumstances of the dream - make other actors go away, make objects in my way disappear, make my lover more handsome, etc. - but they don't obey me! It all keeps going on just as before. Just like it happens when I'm not dreaming. So maybe I'm just not concentrating harder, and by the same token you aren't concentrating hard enough when you close your eyes when you're awake.
The obvious conclusion is: Either our dreams are actually just as real as the world we experience while awake, or else if we would just learn to concentrate better in our waking hours, the physical world around us would change in accordance with our thoughts. (IOW, we haven't found the right "secret knowledge". I'm sure somebody has it on a website somewhere...)