It’s not the penny that catches it, it’s actually the water itself. Liquids have surface tension, which holds the water bubble together like a balloon holds air.
You can see at certain points where the water bubble actually extends over the side of the penny, but doesn’t fall down. That’s surface tension holding the water together.
Eventually as more droplets are added, the water becomes too much for the surface tension to hold and the bubble breaks, similar to a balloon bursting. Everything rushes out and flows away.
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