As the object goes from the void of outer space to the outer fringe of the atmosphere, the friction from the air resistance causes the object to heat up -- much like how your foot feels warm when you drag it along a carpet.
The combined speed of the object plus the intense amount of braking force the Earth's air provides causes the objects to heat to incredible temperatures, burning them up before they get anywhere near the ground.
However, if the objects are larger, it can take longer for them to burn up. In Thursday's case, we're thinking it managed to survive in one piece quite a ways until its temperature reached a critical point and the rock just exploded in the sky.
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