It happens all the time to me. Last night I had a dream when I was walking around looking for a drink but couldn't find one. When I woke up I was extremely thirsty. This also happens when I need to go to the toilet.
You see in movies a lot of times when someone says something in the real world and the people hear it in their dreams. This happens on The Simpsons a lot .
The noise or thing you feel is usually different in your dreams. For example if you hear a beeping noise in real life it might be a van backing up in your dream.