Do not worry, it is a common behavior for everyone which should be regarded as a kind of conditioned reflex.
On the one hand, sneezing needs a great pressure to expel gas, which will cause a strong sudden contract in diaphragm and intercostal muscles which will induce orbicularis oculi muscle to contract, also the muscles in face,neck and forehead will be strained and after that your eyes will close without control.
On the other hand, you should be concentrated on it when you are sneezing and closing your eyes can just help avoid the outside interferences.