Why doesn't the moon disappear when it is in earth's shadow?

Because it is no longer has the sun's light shining on it, and it does not produce light itself there for when there is no light shining on it, it becomes "invisible". Sort of like if your in a pitch black room and someone is shining a torch on you but then someone stands in front of the torch close than you were, this casts their shadow over you, making you are no longer visible.