Why do we close our eyes automatically when we sneeze?

Tough one to answer. The sneeze is a very complicated set of actions that involve several muscles of the body. It also creates tremendous pressure in the body, including behind the eyeballs. Sneezing with them open is quite painful (I've done this myself), so it is believed that the closing of the eyelids is to prevent this pain. It is also theorized that it is to keep the germs that are being expelled from entering the eyes, a most vulnerable point of entry for germs and bacteria.

I think maybe because our eyes can be removed because of too much pressure produced by the sneeze. Do you know that every time you sneeze, your entire nervous system stops? And that is the main reason why people will say "Bless You." :)

Actually sneezing is a reflex action. And closing our eyes is the reaction. While sneezing, part of our muscles become tense. The tensing level(tightening) will cause our eyes to shut. As sneezing removes things from our body, like bacteria and germs.