Oh lawd, I used to do this all the time, still do, but to a slightly lesser degree. I'd get so lost in my head that I'd have no awareness of anything going around (both conversations and explosions could go unnoticed). I guess, though, that it was my fear (which developed over time) of the potential dangers of the world around me and feeling like I had to thoroughly observe the environment and people around me- just in case - what if I missed some stress or inflection in someone's speech that belied their true intentions, or some subtle shift the area around me that would be a game changer?
I probably (fear)ed the possibilities of the ill people can do because of some grave errors I had made concerning the character of people I had trusted. Certain that I was partially blame for experiencing what they did because I had been foolishly inattentive to my surroundings, or perhaps not focused enough to catch some tone somewhere, some rogue word, gesture, or glint of the eyes, that would have let me know what their true intentions were as soon as possible. It was my fault, for not paying enough attention, so I made myself cease getting lost in my mind as often. I still do it, but I try to maintain a balance, if I can. Sort of like, constant awareness and an intake of information merged with (or weeded out from) my view of the world, and from their my plans stay the same or shift.
When I get rare moments when I feel safe enough to relax, I do get completely lost in my mind, like I used to do often. It's then that I pull together all the loose strings that I couldn't while I was immersed in observation, make the soundest decisions, truly reflect on what has come to pass. Sometimes, in my anxiety, I replay all my actions, searching for any mistakes I could have made, replaying those moments over and over, attempting to ensure it doesn't happen again. I'm getting better at just being chill, so maybe soon that'll manifest in allowing myself to get lost in my mind more often, but I suppose we'll see. :]