On this week's LD, my dream was fading and i rapidly concentrated on an object that had some writings. I began reading and the dream gradually returned and becomed vivid.
I tend to know a lucid dream is going to end before it happens. It's just a feeling. I start to think differently. If it has already faded and you are in the process of waking up, it may be too late. What works best for me, when I get 'the feeling' is the same as what Highlander said. Focus on something in the dream. Touch things, look around. All those things help cement you there in that place as if it is your reality and your only focus.
However you said you did try that. So I don't know what the answer is. Was it time to wake up when this happened or was it already too late? That's the only thing I can think of.
When you shut your eyes, you disconnect yourself from the dream some, as you've just removed then one of your senses from the dream (so hence need to be relying on your other senses far more strongly to keep you in it).
To stay in a dream you need to focus on the dream as much as possible, interacting with it is the best.
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