As embarrassing as it may be, when it's happened to me, I normally will say something like "I'm sorry, I missed what you just said. Would you mind repeating it please?". I don't offer a reason as to why I missed it, just that I missed it. They can assume whatever reason they want to assume, it matters not to me. Maybe doing something like this can help you get through those times while you begin learning how to help yourself hold onto your attention of what is being talked about.