You may not be dreaming, however most of the time our dreams are a way for our minds to work things out on their own. If you would like to start remembering a good trick is to start writing in a journal before you get out of bed in the morning :-)
I've heard you don't remember them Because you forcedly wake up. As in if you wake up to a loud alarm clock the thoughts of your dreams fade faster. I wake up whenever I feel like it and I ALWAYS remember them.