I couldn't tell you why this is a rule, but at least to my Canadian English speaking ears, if you said "Joe walked into a train", I'd think that Joe walked across some train tracks and was struck by the train, not that he boarded it.

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.