It means light, a device that provide light (synonym with lamp), not the visible EM wave.
This is one of those senseless example sentence which unfortunately are all over the place. We do say "I turn off the light before going to bed" [tôi tắt đèn trước khi đi ngủ] but no one in their right mind would say "I sleep without a lamp" (it's unlikely anyone in the US, UK, etc. would say something like this either). In fact, the sentence "tôi ngủ không có đèn" is grammatically incorrect... so.. just ignore it.
It doesn't allow "I sleep without light." but it takes "I sleep without lights." That is bad sentence grammar. Singular is correct cause there is just light.