In one of my first lucid dreams, I was hanging out with a bunch of friends and noticed that they were a hodgepodge of people I knew, but who wouldn't know each other. And suddenly I realized, "this is a dream".
I proceeded to walk out onto the balcony and fly away... because flying was absolutely the first thing I wanted to try. Flew around, checked out some different planets, and then subtly slipped back into dreaming, losing control once again.
Lucid dreaming happens to me occasionally and I love it every time. And I always choose to fly lol, I can't help myself
I wanna say it's due to "delta waves" being produced by the brain. We believe it's a part of the sleep cycle that may help protect us from physically "acting out" our dreams.