To understand that you need to know what ETH layer 2 network is. Arbitrum is a layer 2 network that is built on top of ETH mainnet. It have all the elements of ETH mainnet but it is more scalable. That is why they share the same address configuration, but when someone made deposit on arbitrum that ETH stays on Arbitum layer 2 not in ETH mainnet. Not only ETH but all the token that ETH mainnet has can be bridged to arbitrum layer 2 due to   its being a chain on top of ETH.