Closing your eyes on any exercise forces your muscle spindles and other proprioceptive mechanisms to work overtime in order to stabilize the movement and control the load.
Overhead presses are one of the more difficult variations for incorporating the eyes-closed technique. The overhead position raises your center of mass, making it even more challenging in terms of balance and motor control.
As a result of this, you'll be forced to slow the movement down and focus on technique, resulting in improved neuromuscular efficiency, motor unit recruitment, and movement mechanics. As an added benefit, the increased time under tension and muscle innervation produces incredible strength and size gains.