That is something that is strange about Physics, things that seem simple enough don't really make sense with the model we have created in our heads through experience. One example of a similar idea that got me is if a man was going to shoot a cat, aimed at the cat along a horizontal plane then fired, and the cat dropped off the tree to try and dodge the bullet, and did fall adequately enough outside the horizontal plane the bullet still hit it.
Once someone explains to you that the horizontal and vertical velocity are independent then it all begins to make sense though.