V’Anochi lo yada’ti (28:16). Why was Ya’akov so upset that he had slept? The Brisker Rav held that because of the din of morah mikdash there was an issur for Ya’akov to sleep at the spot of the Mikdash even before it was built.
R’ Shteinman in his Ayeles haShachar suggests that Ya’akov was perturbed because during this entire experience of hisgalus haShechina he was asleep – completely passive. Avodas Hashem requires that a person take action, to grow and develop through his/her own efforts, not to passively experience and enjoy whatever Hashem grants. Especially in a place or time of hashra’as haShechina, one's avodah takes on added significance and meaning and Ya'akov felt he missed an opportunity.
The Seforno and Ohr haChaim stress a slightly different theme. Upon waking up Ya’akov realized that the place where he slept was so imbued with holiness that he was even able to experience prophecy with no prior preparation. Ya'akov bemoaned the fact that if such a great revelation could take place with no preparation, how much greater the result could have been if he had actively prepared. The effect of kedusha is far more pronounced when anticipated and prepared for them when haphazardly experienced. V'hi hanosenes that when we enter a place of kedusha, such as a shul, what we glean from the experience will be far more meaningful if we prepare for and anticipate the experience rather than haphazardly attempt to grab whatever inspiration may fall into our mind by chance.
I think there is another reason Ya'akov felt he missed an opportunity. I hate to be cliché, but what comes to mind is the phrase “Strike while the iron is hot”. As people in sales know, you have to close the deal while the customer is hooked, because if he/she gets off with an “I’ll think about it,” odds are that enthusiasm will wane and nothing will come of it. Inspiration that is not followed up immediately by an act of commitment will not make a lasting impression. Perhaps this is why we start learning again right after making a siyum: the tremendous inspiration of the siyum needs to be invested immediately into beginning again on more learning. Ya’akov wanted to respond to this moment of bracha and revelation with some act that would capture his inspiration and transform it into a concrete commitment, but in this case he was unable to do so.