Probably because they are... well... Flying type. The implication is that by being Flying type, they can also fly. So when they are dropped from Sky Drop, they simply pull out of free-fall on their own power.
And technically, they are not completely immune. They are unable to act on the first turn if they were to move after being targeted, and while being dragged up into the air cannot be hit by most attacks just like the user. In doubles you can use this defensively to protect an ally from a powerful attack by an enemy (Explosion, for example, with good prediction).