Why do you close your eyes when you sneeze?

The reason is that it's just a reflex. Because your body has to generate a huge rush of air to make you sneeze, everything clenches up tight to make you go atchoo!, and blow air out of all the right holes to clear the mucus. Part of that is to blow air the wrong way up your tear ducts, which is why your eyes water when you sneeze. You do screw up all your muscles to make sure you don't hurt your eyes, so it is sort of protective. Contrary to myth your eyeballs won't pop out if you sneeze with your eyes open.