The satellites are enclosed in a [protective fairing](https://upload.wikimedia.org/wikipedia/commons/f/ff/Payload_fairing_jettison.jpg) on the top of a rocket on their way up. When they get outside the atmosphere they eject the fairing which then falls back to Earth, then the satellite is sped the rest of the way up to get into a good orbit. The fairing has a huge area and not much mass so it falls back to Earth relatively slowly, they generally land in the ocean though SpaceX has been trying to catch theirs in a net to make them quicker to reuse.
The rocket also travels quite a bit slower while going up than the satellite would coming down. The rocket might be going Mach 10 when it gets to the really thin areas of the upper atmosphere but would be going significantly slower in the thicker sections. A satellite in Low Earth Orbit is traveling around Mach 22 and will quickly reach the denser parts of the atmosphere and experience far far more heating on the way down than the much slower rocket did on the way up.
Satellites do not leave atmosphere on their own. They are carried into space by a huge rocket. These rockets have immense engines to be able to shoot out in space. When the satellite is detached from the rocket it’s already in space with zero gravity and with just small pushes it can navigate long distances.
When returning to earth they enter the atmosphere at astronomical speeds. The friction with air at those speeds generates intense heat and very high temperatures. The satellite needs to be shielded and protected to resists those tens.
Adding to what others have posted here with one more fact:
Anything that enters the atmosphere will burn up if traveling sufficiently fast because of friction with the air right. As anything comes into the atmosphere from outer space it’s entering higher and higher densities of air so it starts to burn up due to the amount of air it’s encountering frictional force with.
Conversely rockets that are being shot up are slower than re-entry objects when they’re beginning to shoot up so the dense columns of air they’re rubbing against at the start don’t cause a burn. If they were traveling fast right out the gate this wouldn’t be the case. As they continue to get faster they’re already higher up in the atmosphere where there’s less air to encounter frictional forces with, so there’s little or no burning.
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