Note: For the physics and neurophysiology covered in this answer I am going to be oversimplifying for brevity.
They are not the "same" but they have the same pitch class. Notes that sound similar are said to have the same pitch chroma and the collection of all these notes are said to be in a pitch class. The octave, however, does differ in pitch height because 440 Hz and 880 Hz are not the same frequencies. The property you are referring to in your question is called octave equivalence. If you want a color analogy, maroon and red are clearly not the same color (different wavelengths) but they do have the same hue.
Let's first note that the octave has circularity (the new scale is perceived to begin again at the next octave) and that this appears to be a universal feature in all music of all cultures. This highly suggests that it is a matter of neurophysiology and not cultural. Furthermore, this property has been observed in monkeys.
There are a few possibilities for why this occurs:
1) Physics explanation: Note that the two pitches share harmonics in common. A sound at 440 Hz also includes 880 Hz as the next harmonic. If you continue the pattern for 440 Hz and 880 Hz you will see that they share a large overlap in common overtone frequencies. Due to the frequency overlap between the harmonics of the two notes, there is a large similarity in the overall sound of the two notes.
2) Neurophysiological explanation: The brain has representative "maps" that are reconstructed from data given to it about the world. So for the auditory system there is a "map" of the 3-d space in which sounds are represented in different areas by different neurons firing in the brain that preserves their approximate location. Oversimplified: Two sounds that are nearby might activate a cluster of neurons that are near each other, thus preserving proximity within the brain. This happens in the auditory cortex with what is a called a tonotopic map, but it is apparent now that the octave itself is mapped in the brain in an area that feeds into the cortex called the thalamus. Unlike the map in the auditory cortex, which is used for sound localization, the thalamic map appears to identify octaves.
In a subsection of the thalamus, a note at 440 Hz, 880 Hz, and 1760 Hz would activate a layer of neurons that are an equal distance apart, forming a kind of octave map. These inputs are then combined together when they leave the thalamus (rather than being maintained as separate, distinct inputs) to be interpreted by the cortex. Essentially the brain is lowering the complexity of a signal in multiple octaves by condensing it into a single octave. These results were first seen in rabbits. There have been a couple studies showing this in humans, here is one of them. This suggests that the brain thinks they are similar enough and the thalamus is organized to reflect this.
There is still work to be done in this area, but the evidence so far is highly suggestive of the idea that octave equivalence is in determined by our brains.
Conclusion: You're not crazy. They are not the same pitch. But the representation in the brain means that the sounds are pooled so that they are perceived as having a similarity. This is because they share an overlap in harmonics which the brain recognizes and maps as well. So perhaps it is better to say that the two pitches are similar but not the same.
Edit: I have changed the paragraph in the physics explanation to reflect the comments by topo morto.