The reason why is its the main logical thought for them. They are a bit astounded (depending on how your vanished looked) and so since the coin wasn't in the hand they thought, it must be in the other.
When performing vanishes, I would suggest making it a routine of sorts. Don't just perform a vanish and that its. Maybe vanish a coin and produce it out of your shirt or behind someones ear. Coin two is a cool example of when vanishing coins and bringing them back....its an actual routine so it is somewhat different.
Anyways, check out Ponta the Smith's one coin routine. He does some sweet vanishes and then reproductions. Super good.
I'm sure others could add to this.