Nightmares aren’t real. Not like the screen you’re reading this on is real.
They might feel like they’re real, and we can deal with the same physical reaction to them as if we were awake, but they’re not our actual reality.
That said, nightmares, if they’re of the mundane kind (as opposed to fantastical ones with vampires and werewolves), can potentially come true. We could forget our lines in the play, or get yelled at by someone we respect.
But like our nightmares, just because they might come true doesn’t mean that they will. And if you don’t act like your nightmares are going to come true, why would you act as if your fears will?