It just seems natural for me to close my eyes when I'm in the process of lifting weights while exercising, or if I'm having difficulty I close my eyes to help unscrew that annoying jar top, or if I'm thinking about a problem in which I'm puzzled, but it also intuitively seems strange. We count on our eyes for so much, to take in visual information, to know where we are going, to see what is around us, so that to give up vision, even temporarily, in order to accomplish something doesn't seem initially to make much sense, yet closing your eyes seems to be necessary in order to get certain things done, as if you need that extra effort, that extra concentration, to help push you across that finish line and get that problem resolved.
The main reason for closing our eyes to improve our concentration has got to do with the fact that vision brings us a multitude of information, in which while working on the particular problem at hand, we don't need our eyes open continually in order to complete that task. For instance, the weight is heavy enough already, we have a good grip, and we just want to lift it up; we don't need nor do we desire seeing other objects in our peripheral vision, not until we've actually lifted the weight and are now bringing it back down. With our eyes open, we appear weaker, and therefore we close them intuitively, feeling that we're better able to perform and to concentrate on the task at hand. It's the exact same weight with our eyes open or with our eyes closed, but the task is accomplished easier with our eyes closed.
That leads us to a general premise, that just because you have your eyes closed while listening to a lecture, you aren't necessarily tuning the lecture out, you may in fact be tuning the lecture in to absorb it better. Yes, you may miss out on some pertinent visual cues, but more importantly you are probably not being distracted by visional items that are taking your attention away from the lecture. Closing your eyes allows you to get engrossed in the task at hand, to reduce the multi-tasking that your brain is processing and to stay focused on the real point.
Taking this premise further, one would think that people born blind, are more capable at processing and understanding speech and Scientific America confirms this by stating: "Blind people can easily comprehend speech that is sped up far beyond the maximum rate that sighted people can understand." Further they state: "Vision is such an important sense for humans that a huge portion of the brain is devoted to visual processing—far more gray matter than is dedicated to any other sense. In blind people all this brain power would go to waste, but somehow an unsighted person's brain rewires itself to connect auditory regions of the brain to the visual cortex."
The above study is absolutely fascinating and demonstrates that something as important as vision, which we use every day has its flip side. Great yogis' understand this and that is why their eyes are typically closed in joyful meditation in order to envision the radiance, the divine eye of God, and our Bible propounds this further in John 1:1: "In the beginning was the Word and the Word was with God, and the Word was God." The Word can only be one thing, the Divine Consciousness spoken into each one of us.