Imagine yourself in front of a large sheet of cloth you can't cross, keeping you from that which you crave the most, and dreams sharp shards of glass, reflecting with their multiple facets you and what you are, flying in towards the sheet of cloth. They may strike the sheet and make a portal for you to enter your nirvana and receive what you covet, but it will just as easily strike you, knocking you down and maiming you.
Whatever happens, as you wake up, the dream and that alternate reality will be erased, slowly and painfully. You know that dream where everything starts to fall apart and you start seeing twilight around you, everything else shrinking and being consumed in the tide of darkness as you run for your life, hoping not to get caught? That's you, as you made yourself in that reality, witnessing what you have created being washed away and forgotten. You don't usually remember this part, though.
It can be so frightening that the brain decides against storing it in memories. So, that's it? We dream and we create new worlds that get erased, without any consequences? The shards that pierce you or the sheet blocking your way are removed and everything is restored, back to normal? Well, yes, they just get erased...
...Most of the time.
You know those recurring dreams or the ones that are, in the most inane way, connected? These are the dreams that aren't deleted. The shards remain, albeit the reformation. They stay there, and you sometimes feel them, experience them. They're usually harmless.
Usually. Sometimes, in rare occasions, they find gaps in your consciousness, in your mind, in your thought, in your being, and they exploit these flaws, finding ways... ways of getting out of that alternate reality and into our world, our reality, our universe.
It's usually the most malevolent of creatures that find the loopholes, that try so hard to squeeze out, that succeed in breaking the minds of their creators. They get out. And They do what they were meant to do in their home world. They terrorize. They Destroy. They Kill. They Disrupt.