Because we are moving with it. Our momentum carries us along with the earth and the atmosphere.
Compare this with what happens when you through an object from a moving vehicle (which we shouldn't, of course....) The object tossed moves along with the vehicle initially, but then progressively slows down because of air resistance. Similarly, when we jump, we move in the direction of the Earth's rotation, just as we did when standing on the ground. But in this case, the air is moving along with the Earth and ourselves, so there is nothing to slow us down.