It's quite common for people to fall into a peaceful slumber during massages and nothing to be self-conscious about. In fact, it is a good sign that your mind is at ease and you are fully relaxed. Massage therapists typically take this as a compliment and a sign that they're providing maximum relaxation to their clients. Enjoy your massage experience and don't always expect yourself to stay awake and alert. Many clients allow their bodies and minds to "reset" in deeply relaxing states.