I always used to believe that if I kept your eyes open when I sneezed, my eyeballs would be propelled out of my head with the 100 mph force of the sneeze and be lost forever. I, in fact, really had nothing to worry about as, firstly, shutting your eyes when you sneeze is a reflex action. This means that your brain is hardwired to do it without you even having to think about it - the same way that you will remove your hand from a hot stove as soon as you touch it. The brain can bypasses the conscious parts of our mind and tell the muscles what to do immediately if we need to act quickly.
But some people don't possess the reflex that makes you shut your eyes when sneezing and can sneeze with their eyes open. And they still have eyeballs, so is there really any reason for this reflex if it doesn't keep our eyes in our heads? The answer to that is probably not. So even if I could manage to hold my eyes open when I sneeze, they would stay put.
The eyes are particularly well attached to your head via muscles and the optic nerve (some strange people can make their eyes bulge out of their head which, although looking odd, doesn't lead to their eyeballs falling out onto the floor and serves to prove how well attached they really are). So the eyelid plays very little part in holding your eyes in when you sneeze.
So why do we still do it? The thing is, no one really nose (he he). Some people have said it is to stop nose gunk from flying into our eyes and giving us an infection. However, the eyes have really good defenses against germs so this probably isn't the case. Maybe it is because we tense lots of our face muscles before we sneeze and the eye muscles are tensed as a byproduct. Or it could have no reason. The eyes and nose nerves are intertwined and stimulation of one can lead to a response from the others. This 'cross-wiring' is what happens when some people sneeze when looking at bright lights.
Did you know: Apparently the first sign of the plague used to be sneezing, so people would say 'bless you' if they heard you sneeze (you were probably going to die so they were trying to be nice). Sneezing these days doesn't usually warn of something as horrid as the plague but we still say 'bless you' anyway to be polite.