It is an illusion. You can prove to yourself that it is an illusion. Find some object that, when held at arm’s length, is about the same size as the moon. A dime may be about twice the size you need. What’s half the size of a dime? Try a squirrel’s cheek (without the nut,) a pencil eraser or even a gravy stain, if it is half the size of a dime. When the moon is near the horizon, hold this object up at arm’s length next to the moon and compare sizes. Wait a few hours and hold the object up beside the moon again when it is higher in the sky. Compare again. The moon will look much smaller to you, but it will appear to be the same size that it was before, relative to the squirrel cheek. This shows that it is your perception that has changed, not the moon.