I think this is especially right, although it goes for art in general and the majority of artists feel that way. He said about one of his films (forgot which one, probably Mulholland Drive): "Every explanation of the film is the right one."
I think what makes his films work is that they are so visually and aurally pleasing. If he leaves out his usual aesthetics, like he did with Inland Empire, it is not nearly as good. I think without the look and feel he gives his films (often a sort of luxurious nightclub kind of feel) not a lot would be left, I wasn't crazy at all about Inland Empire.
Personally for me, we deal so much with the rational in our world and lives, that I find directors and films who deal more with the subconscious enormously freeing and liberating. You can just forget about explanations, whether things truly make sense (and films like that are beyond criticism of such things because of their nature). You can leave your mind at the door and just enjoy the experience.