Back in the days when people believed such things, it was thought that when you sneezed your soul left your body for a moment. "God bless you" or "Gesundheit" (good health) were the supposed remedies.
What didge doo said.
People think of it as your soul leaving your body and now not many ppl know what it means really, they just do it because its something that sticks. Like customs, habits, etc.