The tears are a salt solution. As an eye becomes dry, the tears lose water and become too salty. And just like when you throw salt on a wound, it stings and burns when your tears become too salty, your eyes sting and burn, and later there is a sensation of dryness and sandy-gritty irritation.
Dry eye is a condition characterized by loss of water from the tear film. As a result the tear film becomes saltier and more concentrated. Most of us will remember “osmosis” from high school chemistry. When the tear film becomes too concentrated, osmosis pulls water out of the surface of the eye, making it dry.
In dry eye the high salt concentration in the tear film (the high "tear osmolarity" or hypertonicity) and the changes on the surface of the eye cause the stinging and burning, dryness and sandy-gritty irritation. And because evaporation from the eyes is greater when the eyes are open than when they are closed, the symptoms of dry eye get worse as the day goes on.
One of the most important changes that occur in dry eye is a reduction in the number of conjunctival goblet cells on the surface of the eye. You're probably wondering what a conjunctival goblet cell is. Did you ever wonder why your eyes don't squeak when you blink? It's because on the surface of the eye there are thousands of mucus-containing cells called "goblet cells." Mucus is the most slippery substance in the human body. Think of these goblet cells as the "ball bearings" of the eye surface -- instead of containing stainless steel they contain mucus. And this is why normal eyes don't squeak when they blink and one of the reasons why dry eyes are so uncomfortable.