According to the Wikipedia article Moon illusion, it has apparently been "proven" that the moon's larger appearance at the horizon is, indeed, an illusion, and not a magnification of some kind.
I think we can accept this proof, since (as pointed out by the comments and the Wikipedia article) there are several very straightforward ways to verify this.
In spite of this, there is still disagreement about what causes this illusion.
So what is the real reason? A quick Google search pulls up a few articles like this one that tend to rely entirely on their own explanation on not on any studies or external evidence whatsoever.