Because your eyelid is mostly doing its job, when you close your eye, your eyelid acts like a windshield wiper and clears the irritant that is causing the stinging from most of your eye.
But, unless you flush with with some water or a lot of tears, it might stay stuck in your eyelashes/the point where your two eyelids meet, so when you open your eye again it can possibly spread back out and irritate the eye again.
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