I’m putting this here rather than because I doubt there’s been much research on the subject.
Why is it when people are caught dozing and are called on it, they instantly deny they were out of it. Hell, I’ve even someone snap to with, “I’m awake!” even if nothing was said.
I’m guessing embarrassment is the main factor, perhaps being afraid that you thought the present company was too dull to stay awake. Any other guesses?
Actually didn’t realize they were asleep. It’s very hard for most people to notice when they’ve been asleep for a short period of time, esp. the shallow sleep the OP seems to be talking about.
When watching TV I might fall asleep “for a second” but on rewinding it might have been 10 or more minutes. And that’s if I notice it at all.
“I’m awake!” isn’t denying that they were asleep a moment ago. It’s saying that right now they’re awake. [/pedant]
This sort of thing happens when people believe they will be in some sort of trouble if they’re caught asleep. If they can convince the accusing person that the were merely blinking in a prolonged manner or something they might be able to dodge whatever trouble they might be in. And for all they know they were only nodding for a moment; perhaps they really were awake the whole time!
My dad used to say, “I was just resting my eyes!”
In my job I spend lots of time staring at a screen, and long periods thinking; early on I would periodically close my eyes for a while as I thought, to give them a break. As I relaxed I tended to allow my head to droop, since I wasn’t looking at anything anyway.
Then I heard that some people wandering by, including managerial types, had caught sight of me doing this and thought I was sleeping at my desk.
Since then, when I want to rest my eyes I always prop my chin on my hand, leaning my elbow on my desk and supporting my head that way. Haven’t heard any disconcerting rumors since! 
“You know you’re driving, right?”
I can never fake anyone out by stating I’m awake if I just woke up. Everyone knows I’d been sleeping. My husband, on the other hand could be dead to the world and snap out of it, no one any wiser.
True enough. More than once I’ve been watching some ten-minute You-tube video, then become aware that the TV is awfully quiet and ‘look up’ to find it on the ‘select your next video screen.’
And, of course these same pedants periodically report they’re awake when they haven’t been dozing. 
Perfectly understandable if they were caught at work, but all of the examples I was thinking of were with friends, not at work. Unless you have the kind of friends who will write on your forehead with a sharpie, the consequences seem pretty small.
What, you mean you don’t?
By the way, as I type this, I’m awake. (I think. I mean, how can I really be sure?)
Small consequences are still consequences - people might be offended if they realize you think they’re terminally boring. Plus you want these people to like you.
And of course, after going through ten years of teachers smacking you with rulers when they catch you sleeping, the denial could be pavlovian reflex.