Fifth stage and all of the following stages require more advanced practice, as you engage your subconscious mind into them. Pratyahara, which is sense withdrawal, means that you stop engaging your senses. One of the states in which it is achieved is through Yoga Nidra, because all of your senses, except for one (hearing) go to sleep. The sense of hearing is the only one that keeps active and through which you receive the instructions for the practice.
When you advance more in this practice, you can even achieve the final stage of Raja Yoga – Samadhi or self-realization.