It's the result of stereovision and reason, I believe:

When we see the moon on the horizon it's invariably accompanied by other objects that are MUCH smaller and MUCH closer, so it's the same illusion that creates realistic depth in paintings. Much as the classic sight gag where you have a friend stand in the far distance, put out your hand and, to a careless observer, it looks as though your friend is standing in your palm. Conversely, the moon on a clear night (and it has to be somewhat clear to see it) is so high in the sky at zenith that the only other things in the vicinity are stars even more mindbogglingly distant. Without a reference frame it doesn't look as big as our eyes intuitively (but wrongly) tell us it is at the horizon.

It's still very compelling though; even knowing the truth it looks much bigger to me at the horizon than at zenith. You don't have to prove it experimentally though. Moonlight from the horizon has to go right by anyone directly "under" it to reach us.

Nice find; if it weren't near freezing I'd totally go look, even if I can't use anything stronger than a 8mm eyepiece on a full moon.