"Why do we lie down at the end of class?" It's a good question. I think students should understand the purpose of this exercise. Laying down at the end of class is known as Savasana or corps pose. It's the relaxation portion of the class and usually done for 5-10 minutes.
Some people claim that Savasana is the most important pose in yoga. I agree. I've heard it said that Savasana is like hitting the save button on your computer after you've just completed a bunch of work you'd like to keep. Your body reacts the same way. It needs time to assimilate all the work you've done with it and incorporate the changes made to it.
Besides, it feels really good to just rest. So much of our day is spent being active both physically and mentally. Savasana is a natural recharge for your mind and body. How often do you get a chance to simple "be?" For most of us the answer is very rarely. So enjoy it!
Savasana can be problematic for some students though. I've often watched students as they lay in Savasana and observe that there are some who just can't lie still. They fidget and fuss instead of enjoying the stillness. Some students don't even try; they just roll up their mats and leave. This is usually a sign of over-activity. It's a warning sign that you have been doing too much for too long. Your mind and body no longer know how to relax.
Unfortunately the inability to relax, or hyper-vigilance, is quiet prevalent in our culture. We keep our muscle tense because of constant stress so that they remain in that state. In a sense, we've trained them to be tense. This training of sorts leads to a whole host of problems such as bad posture, muscle and joint pain, vulnerability to injury, insomnia etc.
Our minds work the same way. If you train your brain to constantly run, it will. Then it's a challenge to slow your thoughts down and concentrate on your breath in Savasana. Instead you'll most likely be thinking of what you need to do after class or whatever problem is confronting you at the time.
Think of Savasana as relaxation training or practice. It's a 5-10 minute gift of just being and having to do nothing. There's no obligation or "shoulds" during Savasana. Even if you don't manage to lie still and relax, don't count it as a failure. Instead, be aware of why you couldn't relax and remember that it's a practice. You are relearning how to relax.