A: It isn't really. You can test this by quantitative measurement: you can always cover up the moon with your pinkie held at arm's length. Slightly more quantitative: punch holes of various graduated sizes in a piece of thick (opaque) paper. Hold the paper at arm's length and look through the various holes at the moon until you find the hole that is just barely bigger than the moon. This hole is valid when the moon is just rising and also when the moon is very high in the sky. Best of all: take two photographs, one at moonrise, the other several hours later. Providing you didn't overexpose, when the film is developed you will be able to measure the angular diameters of both moons with a ruler.
Q: OK, then why does a harvest moon LOOK so big?
A: When the moon is on the horizon, we see it AND a bunch of reference objects at the same time. Our brains are wired to recognize relative scale, so when we see the moon behind ol' Farmer McCarthy's barn our brains recognize that the moon is distant and hence quite large. When we see the moon high in the sky, there is no other information, so all our brains can figure out is that the moon is about as big as a pinkie held at arm's length.
We can illustrate this as follows:
It is the last image that perhaps most closely approximates the "Harvest Moon" illusion. The "distant" rectangle appears on the horizon of a geometric landscape and so "looks" much larger.
Quantitative Article on Perception of Moon Size