One reason is something called gyroscopic force. This is the tendency of a spinning object to maintain a stable orientation. If you throw any round object so it spins as it flies--a record album or compact disk for example--it will tend to fly something like a frisbee. If you throw it horizontally, it will stay horizontal for most of its flight. The leading edge of a CD or record is much narrower than its broad, flat surfaces, so this steady orientation helps reduce air friction.
Frisbees and compact disks have the same advantages as far as gyroscopic force is concerned, but there's another physical property that gives your frisbee an aerodynamic edge over your music collection. The top surface of a frisbee is curved. It's wider in the middle and tapers at the edges somewhat like the wing of an aircraft. This is no accident. Air moves more quickly over a curved surface than over a flat one, and this faster moving air above your frisbee has lower air pressure than the slow moving air beneath it. The higher pressure on the frisbee's bottom pushes gently upward for a longer flight, an effect known as "lift."You can even use lift to make your frisbee fly a curving path. Throw the frisbee not horizontally, but at a slight angle. The lift will push the disk in the direction the curved surface is pointing. Use a sharp enough angle, and the frisbee will swing back toward you like a boomerang!