Sleeping is not just rest. A lot of things happen in your body during sleep.
The Stages of Sleep
There are multiple stages during sleep.
During the first stage, you feel completely restless.
During the second stage, you dream. This stage is called R.E.M. sleep, which is an acronym for Rapid Eye Movement. This is because when you dream, your eyes move in their sockets.
During the final stage, all dreaming is over. You feel completely rested.
Sometimes these stages happen backwards. But they are never skipped. So if you say you do not have dreams, you actually do have dreams. You just may not notice that you are dreaming.