This is because your conscious mind, used to doing all the thinking, planning and analysing is drifting away doing other things while your subconscious mind is very aware of what is being said. A bit like falling into a day-dream in the middle of a conversation. You realise with a start that you "did not" hear the last thing said and interrupt to ask if it could be repeated. Yet when it is repeated, you realise that you had heard it all along! I always feel a bit silly when this happens, as I have needlessly drawn attention to the fact that I may not have been listening.

Believe it or not, but you are achieving a state of hypnosis if you are in a dreamy state. Some sessions, such as hypno-analysis and age regression are interractive and require your conscious awareness during the session.