Because of the earth's gravitational pull at which it's velocity is providing for, approximately 90% of the earths atmosphere contains gravity, a pull of force that keeps things falling.
Gravity is a strange force, and it's what causes the penny to fall. If there was lower gravity, it would fall slower. If there was no gravity, it would be free to move in any direction.
I hope this helped!
Thanks!
~StEvE-o
