I've never had one either, and I don't think I've ever had a sex dream. I've been into self gratification since I could.
The other thing to know, is that there are many theories on why they happen, but nothing concrete. Masturbation has a part in it, since cultures where masturbation is suppressed have a higher rate of wet dreams. Some say it's friction against sheets, some say it's just spontaneous orgasm, some even say it's a full bladder "forcing" out semen. It's one of life's mysteries, but it does serve the purpose of getting rid of excess and dead sperm.