I know exactly what your referring to. Like Serinanth, I often find myself wondering why I didn't realize I was dreaming since I can remember the dream so vividly...
On SOME level during these kinds of dreams, I think we DO "know" we are dreaming, but not quite enough to reach the point of lucidity I guess. Anyway, writing down the dreams seems to help me, or you can try developing certain dream tests (if you're able to) while you're dreaming in order to help you focus your thoughts for clarity. Some may just be unable to actively become lucid...