Why do babies cry when they want to sleep?

My sister got a son and I noticed he always cries when he is sleepy. He won’t stop until his mom, and only his mom, takes him and cradles him (if that is how you call it when you take a baby an swing it in your hands).

I don’t get it. Why do babies cry when they want to sleep? Do all babies do it? I mean, if you feel sleepy, just close your eyes and sleep. Why crying?