I think the same thing myself sometimes, but since I don't know the answer and I think it would be impossible to find out, and I mostly enjoy life, I just get on with it and have some fun.
Also, maybe life is a series of nested dreams... have you ever had a dream within a dream? Maybe this whole life is a dream inside a much bigger, more complex reality, and in turn that is a dream inside another even bigger, even more complex reality, and so on.