Inertia is the resistance to change. All objects with mass have it. So if something is moving fast, it does not want to slow down on its own, unless something else slows it down, like gravity, friction, or another object hitting it. The opposite is true too. If an object is not moving, it does not want to move on its own unless some force acts on it.
I don't think anyone really knows why this is the case, but it just is and nobody has ever found it not to be true. If it was'nt for inernia, your pencil could just decide to move away on its own whenever it wanted, which would make for a very strange world.