Because you "walk into" things and get hurt. Like walls, or trees. The notable exception is buildings, or less tangible things like a spotlight.

Trains, ships, and busses are a weird kind of middle ground between on/in.

Thinking about it, I believe the principal difference is if there is something significant (more significant than the roof of a train) above your head? It seems to be very subjective and though, any time I think I've gotten it figured out another example/edge case comes out.