Mainly because the distances are actually so huge. There is way more "space" between any actual celestial objects than we can really wrap our heads around. Check this out: http://www.noao.edu/education/peppercorn/pcmain.html
For those who don't want to click, its basically an exercise for science classes. Short version: If the sun was a typical bowling ball, the earth would be approximately the size of a pepper corn 26 yards away. Amazing. Pluto would be ~1/2 a mile away. The nearest star to our sun would, in this model, be 4000 miles away. Space is really, really big.