Try this - Overcoming Thinking by Ajahn Brahm:

https://youtu.be/nlB3uksRV8M

To answer your question specifically, it's because you identify more with your thoughts. You can imagine being blind/deaf, losing your sense of taste/smell or losing a limb and still being you, but you find it harder to imagine being you without your thoughts. Thoughts tend to proliferate (papanca) faster than the other senses. Obviously you've got some people like bodybuilders who are much more focussed on their bodies than their thoughts, but a lot of people spend most of their time wrapped up in their thoughts. The more you think, the more you think you need to think. But the nice thing is that this process can be put in reverse, which is what Ajahn Brahm is getting at in that talk. Once you start tasting the bliss of stillness and the relief and benefits of not thinking for a while, you will naturally start to want more of it :-) 

 Hi Ian,

I've been thinking about this question too for a while, that why is it that a lot of thoughts feel like we lose the current space and get lost in another space, and this is the conclusion that I have now with the help of Shinzen's descriptions of mind space. It may change in the future.

In each moment with the eyes open (or closed), when we see the physical space, at the same time we have mental images of this space in the mind, that define the frame of the space that we are currently in. When moving from one place to a new place, for instance when moving from one room to another room in the house, those mental images change constantly and define a new frame for this space. Often when focusing on a sensation in the body, this frame for mental image space stays more or less the same, reflecting the current physical space. But what happen with thoughts (not all of them and not always), is that they replace part or all of this mental image space. For example when you bring someone's image to mind, it's not just that person's image that comes to mind, there are other mental images corresponding to the space that the person is, which can correspond to the memory of seeing that person in that physical space. So when a thought arises, suddenly there are a set of mental images that appear, that replace part or all of the current mental image space, but the images that define the space of that thought, usually are not clear, and we notice the central part which could be an image of a person or object or whatever. When the space of thought replaces the current space, we feel that we are detached from the current space, which is true, because we are in the space of that thought. So I think it's important to notice that a thought is not just an image, or a dialog, it's a set of many thing, more importantly the images that define its space. In my experience, the space of most or all thoughts are smaller than the current mental image space, and that's I guess why it feels like a contraction.

We can practice with it, by holding the mental images of the current space in the mind, and trying to notice the thoughts that arise in the space of this room (or wherever we are). They'll lose some clarity, but we can stay present in current space that way.

Hope this helps.