Best explanation I’ve seen is that humans judge distance and size assuming a relatively flat surface (a dozen miles or so in any direction is fairly flat even though the Earth is round).

Things far along the horizon tend to be small because they’re far away. This isn’t the case for the Moon. So our brains assume it’s far away, but it’s the same apparent size, ergo, it must be massive.

Like we know Mt Rainier is massive and far away, so given this photo, we might assume the moon is massive.

Higher in the sky, there’s no real point of reference. Also, you might visually process the sky as a flat layer above the ground, so the same parallax trick applies. I.e. the sky above you is closer than the sky/ground at the horizon. Therefore Moon is “closer” and appears smaller.