Because the
Earth is
round. Well,
curved, at any rate. You think you're walking in a
straight line, but you're actually walking slightly
down with every step. That's because a straight line forward would be
tangent to the Earth's surface (or
secant to the
atmosphere. What you're trying to walk actually approximates an
arc of a
circle.
However, if you're talking about EVA -- a spacewalk -- you can generally move in something like a straight line, as long as you're not too close to a massive object. Otherwise, spacetime itself will be curved, and all your hopes of walking a straight line will go bye-bye.
And that, Your Honor, is why I couldn't walk a straight line when the state trooper pulled me over. Honest.