There should be a good physics reason for this. When I pose this question to friends or co-workers, I get one of three replies: (1) “Because they do!”; (2) “What a stupid question!”; and (3) disgusted silence. My own half-baked guess: it has something to do with the diffusion of light rays. The further away you are from an object, the more diffuse the light rays from its reflection of its light source, the less light strikes your eye, ergo, the object looks smaller. Ha-ha?
Because they actually Get smaller. 
Get out your geometry protractor and your ruler (or your kid’s).
Put the protractor on a piece of paper and put a penny about an inch away. Using the ruler, draw lines out from the center of the protractor, one touching each side of the penny. Count the degrees from one line to the next as indicated by the edge of the protractor. Now move the penny back about four inches and do the same thing.
Notice how there are rather fewer degrees indicated on the second (more distant) test? That means that the penny, when farther away, takes up less room in your vision. It is “smaller” in your line of sight.
A good book on optical illusions can discuss this more fully. I’m sure there are web sites that discuss it, but I’m having problems with keeping dual browser pages open today, so you’ll have to do your own search.
Try http://www.google.com/ and enter optical illusion.