The simple answer is either they are stored in your memory or you forget them. But this question makes us ask a great number of other question. What is the difference between day-dreaming and the dreams we have when we are asleep? Can dreams foretell the future? How long do they really last? Do we have dreams in color or only in black and white? Why do we forget some dreams and remember others? Are dreams good for us, or bad? Why do some dreams wake us up at once and others not?
Some experts say that to be healthy in mind, we have to dream every night, whether we remember them or not. There is a book called An Experiment with Time by J.W Dunne, which tells us that the author used to note down in the morning the dreams he had in the night, and that sometimes his dreams foretold what was to happen in the future. He suggests that when we are wide awake our sense of time is vertical, so that we are aware only of the present moment, but that when we are asleep, time becomes for us horizontal, so that we can travel into the past and the future. Other experts say that we dream of doing the things which for various reasons,we cannot do in our waking hours. So we try to realize in our sleep wishes that cannot be realized by day.