Really, that big full moon you saw rising or setting a few days ago was, in fact, smaller than it was a few hours earlier when it was high in the sky.
The setting and rising moon seems huge by comparison to the way the same moon looked a few hours earlier when it was overhead. In reality, the true angular diameter of the Moon is about 1.5% smaller when it sets or rises as compared to when it is high in the sky, simply because it is farther away from you by almost one Earth radius.
"Look how big the moon is!" is the result of an illusion created because of the ways our eyes focus and the way our brain interprets visual information, something called oculomotor micropsia.
To see what this means, the next time you look at the horizon moon cross your eyes. Doing this will cause oculomotor micropsia and double vision, but notice that the moon's angular size looks smaller than it did.