It sounds a little like one of those silly rhetorical questions to point out some kind of oxymoron like "Why to they call them apartments when they're built so close together?," but is there any known reason why people/places are said to be "on" TV but "in" the movies?
Best guess: You turn the TV on to watch it, but go in a theater to view a movie?
Warning: Unfounded speculation follows. I'm not sure how much is donut and how much is hole.
It looks like we tend to use "on" for media and "in" for the content conveyed by the media:
"On TV"
"On stage"
"On the radio"
"On the silver/big screen"
"On the CD"
"On the DVD"
"On the web/webpage"
"In the movie"
"In the story"
"In the skit"
"In the play"
"In the program"
Except that printed media doesn't appear to follow this:
"In a book"
"In the paper"
"In print"
In the miniseries on TV ...
In my favorite program on TV ...
Prepositions are some of the trickiest elements of language. It is probably wisest to consider them a matter of convention, rather than rationally determined. "Reasons" for selecting one preposition over another can serve as a mnemonic for those struggling to acquire language, but such explanations rarely stand up to careful scrutiny.
I have no idea if this is correct, but I bet that "on the movies" sounds too much like "on the move". So people chose "in the movies" to avoid confusion. Also, "in the movies" hints at a large industry, like "He's in insurance". But while TV is an industry, it's also right in our living rooms. Whatever is broadcast over the airways is "on TV." "In TV" does mean that a person works in the TV industry, while saying, "in TV" to mean "what's on the TV screen" would probably lead people to think someone was inside the TV. But they're not -- they're merely on it.