* Stars are incredibly far away: The closest star to our Sun is Proxima Centauri, which is over 4 light-years away. That's a distance so vast it's hard to comprehend.
* Stars are held in place by gravity: Stars are held together by their own gravity, and they are also held in their positions within galaxies by the gravitational pull of other stars and gas clouds.
* What we see as "falling stars" are actually meteors: The streaks of light we see in the sky are caused by small pieces of space debris, called meteors, burning up in our atmosphere. These are not stars.
So, while we might say a "star fell from the sky", that's just a poetic way of describing a meteor. Stars themselves are much too large and far away to fall to Earth.