In short, UCLA researchers have discovered that people with sleep apnea show tissue loss in brain regions that help store memory. Principal investigator Ronald Harper hypothesizes that repeated drops in oxygen lead to the brain injury. During an apnea episode, the brain's blood vessels constrict, starving its tissue of oxygen and causing cellular death. The process also incites inflammation, which further damages the tissue. "The reduced size of the mammillary bodies (structures on the underside of the brain) suggests that they've suffered a harmful event resulting in sizable cell loss," Harper said. "The fact that patients' memory problems continue despite treatment for their sleep disorder implies a long-lasting brain injury."
While the above explains what's going on, continued memory problems is not something I want to have.