The same reason you can sit inside your car comfortably but if you were to be hit by a car you would be splattered.
The fly is moving at the same speed as the air (more or less), and the air inside your car is going the same speed as your car, so the difference in speed between the fly and your car is close to zero.
From the flies point of view, there’s no difference between being inside a parked car or a moving car
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