Something to do with the curvature of space that BM can doubtless explain better than I can.
As I understand it, space curves in some less than perceptible dimensions near the 'edge' of space, so as you approach it, the actual direction you're moving in gradually shifts away. Keep going and you'll find that your proximity to the edge increases more and more slowly. Eventually it'll loop round and you'll be on a long, long path around the edge until you end up back where you started.
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