It all comes down to how forces work (newtons first law). When you throw something directly upwards it comes down because of gravity. Gravity is constantly pulling down so when you throw something upwards it slowly pulls down until it stops and comes back down. When you are walking any object on you is moving with you at some speed. If nothing interferes with the object it will continue going in that direction. So if you throw it up, you added a vertical force to the already moving object causing it to go up. During the whole process the horizontal motion is not touched so it continues to move forward until you catch it