The key to a massage is relaxation and allowing yourself to enjoy the experience. Many therapists will discourage you from talking during the massage. They want you to relax, to just let your mind float free, and let the massage transport you to an almost subconscious bliss. It's not uncommon for many people to be more relaxed talking. After all, they're lying undressed on a table with a stranger touching their skin. Talking makes the therapist become more human and personal to them, and having this interaction makes it easier for them to place their trust in the therapist, and therefore make it easier for them to relax. Many clients talk in the initial stages of a massage, and as the massage progresses, they slip farther into a state of total relaxation and become quiet. 

There are times when you should speak up during a massage. If anything makes you uncomfortable, bring it to the therapist's attention. If you're too cold or too hot, the room is too bright and hard on your eyes, or if you prefer the strokes to be deeper or lighter, mention it to the therapist. Bear in mind that some therapists only do a light massage, so they may not go deeper even if you request it. It is just not their style of massage. Feel free to speak up, if something about the massage isn't working for you.