even those who say they don't. Dreaming occurs during REM (Rapid Eye Movement) sleep, and that occurs about once every 90 minutes or so throughout the night. The final period of REM lasts longer than the others, and can sometimes go on for 45 minutes or so. That's when you are likely to have the dreams that you remember when you wake in the morning.
Dreams can be indicators of your state of health, both mental and physical, which is no doubt why your therapist is showing an interest.