You could install an App called insomniaX.
It can prevent your Mac from sleeping even with the lid closed. Considering you're leaving your Mac for downloads, you could leave it over night with insomniaX enabled and close the lid.
Some macs have issues with cooling with the lid closed, I don't know which all. Although my MacBook Pro Retina 13 has no troubles being up all night in the closed lid position. So proceed at your own risk.
You could also set the app to disable sleep while charging. It comes disabled by default, but you have the option. By default you can enable no idle sleep or no lid sleep using your own key combinations. But the charger method seems like the hassle free way to go.
Just plug in and your Mac won't bat an eye again.
OK I solved it.
I followed instructions from http://superuser.com/questions/214943/what-is-preventing-my-macbook-from-sleepin g/409481/
and hit Enter
and hit Enter. This will list all running processes that have that ID (will also include the
ps -e | grep <process ID here>
For me it turned out to be Internet Sharing enabled that prevented my MBP from sleeping.