the illusion is it's perceived as the "same" note/tone. It's not, and when you dig, you can tell it's not, but when you're casually listening, your brain here's a "fuller" note for some reason. The "fuller" comes from the two octaves being played simultaneously in your seperate ear holes.
Like sleight-of-hand, you know it's there but you can't quite discern it at the time and are gladly surprised by it but you know it's not real magic.