Although the moon appears to be located in the branches of a tree, it is actually situated very far away. Similarly, none of the avatāras, or incarnations, of Lord Kṛṣṇa are within this material world, but they are visible by the causeless mercy of the Lord. We should not consider them to belong to this material world. As stated in Bhagavad-gītā:

avajānanti māṁ mūḍhā
mānuṣīṁ tanum āśritam
paraṁ bhāvam ajānanto
mama bhūta-maheśvaram

"Fools deride Me when I descend in the human form. They do not know My transcendental nature and My supreme dominion over all that be." (Bg. 9.11)

Avatāras descend of their own free will, and although they may act like ordinary human beings, they do not belong to this material world. Lord Kṛṣṇa and His avatāras can be understood only by the grace of the Lord.

nāyam ātmā pravacanena labhyo
na medhayā na bahunā śrutena
yam evaiṣa vṛṇute tena labhyas
tasyaiṣa ātmā vivṛṇute tanūṁ svām

(Kaṭha Upaniṣad 1.2.23)

athāpi te deva padāmbuja-dvaya-
prasāda-leśānugṛhīta eva hi
jānāti tattvaṁ bhagavan-mahimno
na cānya eko 'pi ciraṁ vicinvan

(Bhāg. 10.14.29)