You do dream, you just aren't remembering them. Each night the body goes through a few cycles of REM (rapid eye movement) sleep that is the dreaming state. I find as you get older you remember your dreams less. I've gone through long periods of not remembering my dreams either and had the same thought. But physically, your mind does dream while sleeping even if you don't remember. A trick you could try is having someone wake you up in the middle of the night and I bet you would remember some of what you were just dreaming.
The last good dream I had was that my little scruffy dog, Lucky, was still alive. When I woke up, and realized she wasn't, I was in tears, I know, weird, but I loved that little dog so much, and it had seemed so real. I'm not fond of dreams, they usually disappoint in one way or another.