I do that too - it's an interesting sensation to realise you should have been paying attention and "Replay" the last few seconds of conversation to build a context. Unfortunately it's only a few seconds...

The most interesting related thing I've experienced is hearing an unexpected noise in the night (once it was a mouse in my room) and being woken up by whatever part of my brain monitors that stuff, and then having the really visceral sensation of the unexpected sound being played back to my now conscious brain to try and give context.