I think the reasons are two-fold

1) When you lucid dream, and I don't know for a fact, but I know for me my REM sleep is a lot lighter than my normal dreams. And for this I am more susseptable to external noises etc and wake up more frequently. I am sure you can Lucid dream in heavier REm sleep - but I fell the lighter the better the chances and the increase in recall.

2) Because you are lucid dreaming your mind is more aware then it is when you are non lucid dreaming so because of this it is more aware of external sounds.