How Are the Eyes Attached to the Head?
To understand whether your eyes are likely to detach from your body during a sneeze, you first need to understand how they're attached to your head. If all that's holding them in place is the flimsy piece of skin known as the eyelid, then that would make sneezing awfully dangerous.
Think about how many times you've watched someone out of the corner of your eye or rolled your eyes at some inane thing your friend said. Those eye movements are powered by muscles -- the same muscles that keep your eyes where they belong. The medial and lateral rectus, superior and inferior oblique and superior and inferior rectus muscles are all attached firmly to the eye. And they aren't going to let it roll out on the floor.
The purpose of eyelids is to protect the delicate eye area from injury and debris. Blinking acts as a wash for the eyes, freshening them with the vitreous fluid that's part of the eye. Tear ducts drain into the back of the nose, which is why crying leads to a runny nose. It's also the reason that sneezing can lead to teary eyes. The pressure built up when you sneeze can temporarily prevent the tear ducts from draining.
So, if the eyes are so firmly attached, why the widespread belief that sneezing with your eyes open will blow them right out of your head? Perhaps it's that it seems impossible not to close your eyes when you sneeze. And if we can't force our own eyes to stay open during a sneeze, there must be a good reason for them to involuntarily shut, right?