The “color” you see when you close your eyes isn't actually black. In fact, most people are probably unaware that the near-black grayness behind closed eyelids has a specific name: eigengrau. Also known as "brain gray," the fancy term has roots in the German language and means "intrinsically gray", since grau is the German word for gray. The shade is sometimes referred to as “Eigenlicht” (Intrinsic light, in both German and Dutch).

When our eyes are shut, they don't actually stop working, they just become less sensitive to low stimuli. Our eyes contain a light-sensitive receptor protein called rhodopsin, located in the rods of the retina. Rhodopsin is extremely sensitive to light, and thus (happily) enables vision in low-light conditions. But just because we close our eyes, that does not mean rhodopsin stops working; it is basically always firing, creating that uniquely dark gray tone we "see" when we're ready for some shuteye.

Eigengrau is perceived as lighter than a black object when placed side-by-side in normal lighting conditions.

More Info: en.m.wikipedia.org