A sense or a feeling. Something in you gave you the dream, and therefore something knows what it means. No one really knows for sure. Apparently we need to dream in order to integrate some level of feeling and thought. If we are deprived of dreams we become literally crazy, very quickly.
Dreams are critical to health.
Dreams teach us, if we know how to listen. Dreams are very important if you are interested in truly understanding who you are, on a deep psychological and spiritual level. Yes, everyone dreams. This is true even if they don't remember it. Researchers have shown that everyone dreams, even when they don't remember.