The old saying 'let sleeping dogs lie' is great for dogs you don't know or old dogs, but here is a thought, why?
If your dog is doing a great thing - by being really good and not causing trouble, why would you not reward this behaviour?
I'm not saying disturb your dog each time he sleeps, that wouldn't be very nice, or helpful for your dog getting the rest he needs, but sometimes dogs sleep because there is nothing else to do at that moment in time.
Rewarding calm behaviour such as sleeping or resting with some fun - a game, a treat, a chew toy, a walk - encourages your dog to be calm when you aren't doing things with him, which makes it easier for you to get on with things and enjoy the time you do spend with him even more as he hasn't stressed you out and you haven't just taken him for a walk to shut him up.
So make sure to reward your dog occasionally for being calm and relaxed while waiting for you to do something fun with him.