Because you have two capacitors. At high frequencies the big one looks like an inductor and has a high reactance and so is doing nothing for you, but the small one has a low reactance and so is shorting out the interference. Where as at low frequencies the small capacitor does nothing for you but the big one can absorb the ripple.
Try that on a scope (and if you cannot afford a scope, try it in a simulator), and see for yourself.