One way to explain this is to think of the Euclidean plane as a picture of (part of) an ambient 3-dimensional world. This corresponds to how our vision actually works: light from the three-dimensional world is projected through the lens of an eyes onto the surface at the back of our eye.
In more detail: Place a plane anywhere in three-dimensional space (as long as it doesn't pass through the origin). Call this the "picture plane". Now any line through the origin in $\mathbb{R}^3$ pierces the picture plane in exactly one point (as long as the line it is not parallel to the picture plane). Any plane through the origin pierces the picture plane in exactly one line (again, as long as the plane is not parallel to the picture plane). See below (in which the picture plane is shown in blue).

Now we have a dictionary:
$$\textrm{point in picture plane} \longleftrightarrow \textrm{line through origin in 3-space}$$
$$\textrm{line in picture plane} \longleftrightarrow \textrm{plane through origin in 3-space}$$
This dictionary is not quite 1-to-1, because there are lines (and one plane) through the origin in $\mathbb{R}^3$ that are parallel to the picture plane, and therefore do not correspond to any points or to a line in the picture plane. These are points and this line can be considered "at infinity", but really all this means is that they do not have images in the picture plane.
You can experience this visually by holding your finger at arm's length in front of and a few inches above. As you draw your arm closer (while maintaining its height) the location of your fingertip seems to get "higher" or "farther away" in your field of view, as your eyes have to strain more and more to see it. Eventually when the fingertip is directly above the eye, the finger "disappears". It's not really gone, of course, but the "line of sight" from the fingertip to the lens of your eye is parallel to the retina, so that the fingertip cannot be seen. Perceptually, the fingertip has receded "infinitely far away" in the picture plane -- but it is actually just a couple of inches away in 3-space.
However, we all know what to do in that circumstance: turn your head! This corresponds to choosing a new picture plane with a different orientation. Now the point that was "at infinity" snaps into view and is revealed as an ordinary point in the new picture plane (and at the same time points that were previously in view have no disappeared).
Note that a statement like
given any two distinct points in the picture plane, there exists a unique line in the picture plane through the given points
which describes a true fact about the geometry of the picture plane corresponds, via this dictionary, to
given any two distinct lines through the origin in 3-space, there exists a unique plane through the origin containing both lines
which is a true statement about 3-space.
Now that we have this dictionary set up, let's think about what parallel lines in the picture plane are. As the image below shows, parallel lines in the picture plane correspond to two planes in $\mathbb{R}^3$. (More precisely, lines $f$ and $g$ are "parallel" in the blue picture plane, and correspond to the orange and yellow planes through the origin.)

Those planes are not parallel; they intersect, but the intersection is a line that does not pierce the picture plane. (In this illustration, the line of intersection happens to be the $y$-axis.) That line in $\mathbb{R}^3$ corresponds to a point "at infinity".
Of course if you choose a different picture plane, then the lines will no longer appear parallel, and their intersection will be plainly visible as a point in the new picture plane. The final image below shows this. In that image, the orange and yellow planes are the same ones as before, but the blue picture plane has been moved and reoriented; the images of the two planes are now non-parallel lines.

In summary:
- If the 2-dimensional plane is understood as an image of an ambient 3-dimensional space, then a "point" is just the image of a line through the origin and a "line" is just the image of a plane through the origin
- Some "points" (and the "line" containing that point) will have no image in the picture plane, which we describe by saying that they are "at infinity"
- However being "at infinity" is an artifact of which picture plane we use; changing picture planes changes which points are at infinity
- Furthermore whether two "lines" are parallel is an artifact of the picture plane we use to view them; lines that seem parallel from one perspective are non-parallel from a different perspective
- The connection between the last two bullets is that "lines" that appear parallel in one picture plane do intersect, but the point of intersection is a point "at infinity" relative to the picture plane; change perspectives and the point is no longer at infinity, and the lines are no longer parallel.
- All of the above corresponds more-or-less exactly with how the human eye works, which is why perspective art can do such a good job at fooling the eye and creating the illusion of depth on a flat surface.