When we shave, we expose new skin and our face is left in a more sensitive state. Your pillow and sheets can have residue from your lotion, detergent, or hair products that can irritate freshly shaved skin. This can cause bumps, itching, or other irritation.
We do strongly recommend shaving after a hot shower though. So if you normally shower at night only, we definitely recommend another quick preshave shower in the morning, or using hot towels before your shave to avoid shaving at night.