I don't have the same problem, but I have a difficult time accepting that it's a dream and that is still a problem for me. This is why I think a lot people, including me just wake up when they're lucid dreaming. For me there was this initial shock because dreams are supposed to be this fuzzy unconscious state where things are not really real. I think lucid dreams mess up that perception because they are just like waking reality and it doesn't compute. My advice would be to work on the acceptance of it being a dream. Try to say to yourself in the dream: This is O.K., dreams are just as real as waking life and I can be in a dream without being asleep. I think after your first LD, it takes an entire mental adjustment. I'm still trying to fit this whole thing into my perception of what "reality" is which is kind of messed up now, but I love it!
Have you ever had a dream, Neo, that you were so sure was real? What if you were unable to wake from that dream? How would you know the difference between the dream world and the real world? Morpheus