MGLs aside, I've considered that. Nobody is gonna get my gun from under my pillow without waking me up.
However, one instance occurred relatively recently where I dreamed my fiancee was something out of the Exorcist, and we both woke up with my hand around her neck and my fist pulled back. Thankfully, nobody was hurt (and she was very gracious about the whole thing, if not exactly pleased), but this drove home for me that I cannot consider myself to be in control while asleep. Keeping it near my bed in a quick-access safe is a reasonable compromise for me, as I'm confident I'd need to be fully awake to open it up.
Note that I'm not suggesting that we should not have the right to keep our guns wherever we deem to be prudent... just that even if it is legal, I've made the choice not to have it in bed with me.