You may read the earlier post, which has some explanation of this scenario. This post is a much better scientific and spiritual explanation of the same.
The four states of Atma - Jagruta (wakeful), Swapna (dream), Sushipti (deep sleep), and Turiya states are discussed in the Mandukya Upanishad. Every human being is aware of the first 3 states. In the Jagruta state, all humans have full control. They have no control over the other states. Avadhutas have control of these states. Gods reside in the second state (Swapna) that is why we hear of things like God came in a dream and gave some instructions. Now let's see how this is related to the Mahabharata. To understand this first, we need to see the below event.
Sivarama Sastri, brother of Kavyakanta Ganapathi muni, was hungry. Meanwhile, Ganapathi began enquiring at various houses whether his brother could be fed that night. But it was Ekadasi and no food had been cooked in many houses. Moreover, it was already nine in the night and people in many houses had already retired. Though Sivarama Sastri had by then consumed eight plantains, his hunger was not appeased. Ganapathi was afraid that indiscriminate eating might lead to ill-health. And Sivarama Sastri was already restless due to hunger. Ganapathi then stood before a house, reciting a sloka which described his misery then. Though the door of the house was closed, there was a man lying on the outer pial. He got up and asked Ganapathi what the matter was. When Ganapathi described his situation, the man, stating that his wife had just finished a Vrata (a religious observance), wanted to feed two Brahmins, but that being the day of Ekadasi, Brahmins were not available, requested both of them to be his guests that night. Though Ganapathi was not hungry, he yielded to the entreaties of the man. On entering the house, they found a Tulasi plant surrounded by lights and other decorations—the interior of the house was simple, neat, and attractive. The housewife persuaded them affectionately to eat well. After the meal, the brothers were given taamboolam (betel leaves and nuts) and dakshina (a small monetary present). They came out and slept in the corridor of the choultry. To convey gratitude to their hosts, they searched for the house the next day, but there was no house like that in that locality at all. It was really a mystery.
Movement from a higher plane/state to a lower plane is possible. The house existed in the higher plane and was simply projected onto the lower plane before being taken back.This is the key to all the happenings of the Mahabharata. The two planes merged or were together during the period, and many great things from the higher plane descended to the lower plane, like Astras (celestial weapons), longevity, voluntary death, etc. That is the reason we don't see any of the weapons, chariots, palaces, etc in any excavation except for Dwaraka in the ocean. It is just a matter of projecting it from the higher plane or merging with it.
Two more events from the Mahabharata show it clearly. Divyastras not working post Krishna niryana discussed here and Arjuna going to heaven with body. Heaven (abode of devatas) should be in the Swapna state (second state), but Arjuna could go there with his body freely. Free movement across the two states was possible during the Mahabharata period. Now that they are separated, we don't see any of those divine things on Earth.
To explain it simply, as Krishna's consciousness descended on the Earth plane, the divinity came along and left post his niryana, similar to the event in the life of Ganapathi muni.