The dust & moisture Wayne mentioned, filters out the shorter wavelengths of light, i.e those shorter than yellow, hense the Moon, or Sun, or any bright astronomical object close to the horizon appearing redder than it naturally would normally.
Longer wavelengths penetrate dust, haze etc, far more than shorter wavelengths. This is why Infrared Telescopes are so good at looking inside nebulae etc. It's exactly the same principle.
Andrew Brown.