Near the end of the movie, when Link runs around to unplug Morpheus to let him know that Trinity went back in (during Neo's meeting with the Architect), watch the part when Morpheus' chair is automatically moving back up. You'll see Morpheus open his eyes for a split second and look around. Then when the scene changes, they're closed, as if he's still jacked in. If you recall, consciousness does not come back until the jack is removed.