Because native English speakers hear them being used every day of our lives right from being babies. The key with phrasal verbs is context, and because we hear them used by people around us when we are children it just becomes intuitive why and when to use a certain preposition with a verb.
We do not learn them at school, and no ever thinks "oh, should I say pick up, or pick at, or pick on," we have simply heard them so many times in context that it is just natural to use whichever one is correct for the situation.
It's the same reason why native Spanish speakers understand when to use the subjunctive instead of the indicative tense, you are immersed in the language and it just becomes second nature to you.. Not so easy for a learner who hasn't been brought up surrounded by the language.