My answer to this question rests on two main points: first, movie reality is different from real reality. Second, movie reality draws viewers in more than most other kinds of media tend to do.
Cultural studies expert Olga Roginskaya has insightfully noted that watching movies is very similar to watching a dream. And when we're having a dream, we're usually fully present in the dream, and even though the dream's reality looks different from our actual reality, we don't question it much. Media theorist Marshall McLuhan classifies movies as "hot" media, which engulfs your senses and really draws you in. This happens because of the darkness that surrounds you in the movie theatre, and also thanks to special effects which capture the attention of viewers and aim to shock them. Moreover, we usually tend to watch films through the lens that the filmmakers have created for us - a skill similar to reading a book. Unless we read the book or "read" the film in the way the authors intended (for the most part), we can't understand what's happening on the pages or on the screen.
Watching movies is very similar to watching a dream. And when we're having a dream, we're usually fully present in the dream, and even though the dream's reality looks different from our actual reality, we don't question it much.
Walter Benjamin also wrote about movie reality in his essay "The Work of Art in the Age of Mechanical Reproduction” and argued that movies give us a point of view which we can never get from ordinary life, as movies are made up of illusions which emerge as a result of montage.
For example, in ordinary life we cannot look at what's happening on the ground from high up in the air and at the same time capture the same action up close.
Dziga Vertov, the Soviet documentary film and newsreel director, in his work Man with a Movie Camera, showed a camera attached to the railroad tracks filming a passing train riding straight above it. The special effects techniques and technologies developed since then do even more to broaden the scope of new things we can see from new viewpoints.
When we watch a film, we see a combination of new viewpoints with a montage that looks very much like reality but isn't quite real - and this synthesis takes us out of our seats and into a new world.
So when we watch a film, we see a combination of new viewpoints with a montage that looks very much like reality but isn't quite real - and this synthesis takes us out of our seats and into a new world for the hours we spend in front of a screen - this is the world of movie reality. And when you finish watching the movie, actual reality stands out in stark contrast to all this, and it takes a while to readjust to those sets of sensations and different viewpoints again.
At the same time, I think that today we are seeing such a fast proliferation of screens in our everyday lives that screen reality and offscreen reality are coming together into one entity more and more. Soon we might develop a constant feeling of unreality, or, alternatively, we might forget that feeling altogether if life becomes a constant process of switching from one screen to the next.