Generally speaking, it is quite that the eyeballs move when you close your eyes. This is because that the optical nerves which are in charge of the eyes will transmit the order that makes your eyes slightly move when you close your eyes while you are still awake. This is quite normal for most people. On the other hand, if people suffer from panasthenia, they will get nystagmus when their eyes are closed, that is, their eyes still move when they closing their eyes. Therefore, it is one of the symptoms to judge whether person has the panasthenia or not. In addition to that, when people are dreaming when they are asleep, their eyes will as well move, which is also normal. If your eyes move frequently when your eyes are closed, you had better go to the department of of neurology to have an examination to see if there is any problem in your nerves.