Although the moon appears to be located in the branches of a tree, it is actually situated very far away. Similarly, none of the avatāras, or incarnations, of Lord Kṛṣṇa are within this material world, but they are visible by the causeless mercy of the Lord. We should not consider them to belong to this material world. As stated by Lord Kṛṣṇa in the Bhagavad-gītā (Bg. 9.11):

avajānanti māṁ mūḍhā mānuṣīṁ tanum āśritam
paraṁ bhāvam ajānanto mama bhūta-maheśvaram

“Fools deride Me when I descend in the human form. They do not know My transcendental nature as the Supreme Lord of all that be.”

Avatāras descend of their own free will, and although they may act like ordinary human beings, they do not belong to this material world. Lord Kṛṣṇa and His avatāras can be understood only by the grace of the Lord.

nāyam ātmā pravacanena labhyo
 na medhayā na bahunā śrutena
yam evaiṣa vṛṇute tena labhyas
 tasyaiṣa ātmā vivṛṇute tanūṁ svām

(Kaṭha Upaniṣad 1.2.23)

“The Supreme Lord is not obtained by means of expert explanations, vast intelligence or even much hearing. He is obtained only by one whom He Himself chooses. To such a person, He manifests His own form.”

athāpi te deva padāmbuja-dvaya-
 prasāda-leśānugṛhīta eva hi
jānāti tattvaṁ bhagavan-mahimno
 na cānya eko ’pi ciraṁ vicinvan

(Bhāg. 10.14.29)

“My Lord, if one is favored by even a slight trace of the mercy of Your lotus feet, he can understand the greatness of Your personality. But those who speculate to understand the Supreme Personality of Godhead are unable to know You, even though they continue studying the Vedas for many years.”