Last night I laid on my bed and tried to go to sleep with the light off. I closed my eyes (but hadn't gone to sleep). My younger brother touched the wireless mouse (which had laser) for the laptop. He wiggled the mouse and it's laser contacted my closed eye . I knew some light was thrown on my face, and it's color was red. The laser on the mouse was actually red. So my question is, when my eyes are not functioning (not seeing, closed) how did I come to know that there was a light aimed at my eyes, and it was red?
There are two reasons for light to appear red through the eyelids.
Eyelids get a rich supply of blood which contains iron (in hemoglobin). The iron in blood absorbs all colors of light but reflects red light. (reference)
Our tissue transmits red wavelengths of light very well, but it doesn't transmit blue or wavelengths of light towards the blue end of the spectrum very well. So, the blue light is absorbed by the skin, while the red light travels through. When this light hits our eye through our eyelids, it is mostly red. (reference).
Also, as Rickard Sjogren said, the eyelid is a thin membrane and allows light to pass through.
Short answer, your eyelids does not block all light. Since they are only a thin layer of skin, the light is able to pass through although not completely obviously. Since the eyes are still completely functional when you close them, only covered by the eyelids, you are able to see when light strikes your face.