Three demonstrations you can do the next time it happens, which is much more convincing than any explanation.
Hold something up to compare. An aspirin at arm's length, or the nail of your little finger, roughly covers the moon. Do it at the horizon and again overhead. Same coverage both times, and it is startling how much you disbelieve your own hand.
Remove the context. Look at the horizon moon through a rolled-up tube of paper, so nothing else is in view. The moon shrinks immediately. This is the strongest one and it is essentially a direct demonstration of the leading explanation: take away the landscape and the illusion goes with it.
Look at it upside down. Bend over and view it between your legs, or lie down. The effect weakens or disappears for most people, which is hard to explain by anything in the light and easy to explain by perception.
On photographing it: use the longest lens you have and include something recognisable - a building, a ridge: at a distance. That gives the viewer of the photograph the context your eyes had, and it is why the dramatic moon photographs you see are always shot from a long way back with a long lens rather than up close with a wide one.