It's a purely psychological effect.

When it's way overhead - it's the moon. You've seen it all your life. It's just there.

When it's on the horizon - your automatic distance-judging machinery (we're talking more than just parallax and depth perception here - I mean the whole process) says "hey that thing is really far away, and way, way past the horizon, way further away than those mountains, so it's obviously really, really big by comparison (which is completely true).

Humans perceive the world more or less on a horizontal plane - so we interpret things in that plane differently than we do things above/below us.