because the door you "selected" was never selected - it was never opened, nor the contents changed. it was the representation of a concept of a door, but it could have just as easily been the other door. in fact, in statistics land, that's exactly what it was. "one of the doors".
when you "switch", you're also switching the representation of a door from 1/3 to 1/2. and the odds are better when there are only 2 doors remaining.
remember, you don't always win by switching - it's not magic. over time, it just wins more often than not.