Yes it's okay to sleep with retainers.
When you get a retainer for your teeth you have to wear the retainer all the time for at least the first couple months and then you can usually remove the retainer during the day or night.
But if you want to keep your teeth in the perfect condition after getting a retainer then you need to wear the retainer for the rest of your life.
Sleeping with a retainer is recommended to keep your teeth straight and to prevent the teeth from getting out of position again.
However if you do decide that you do not want to wear the retainer anymore then you have that option but your teeth can go back to being crooked and not straight anymore.