I may as well say from the start that I’m not entirely sure about the answer, but I think it probably comes in two parts.
Firstly it’s to do with the way the classics take you back to the origins of the novel as fictional writing to be enjoyed. Novels, at least in the UK, originated during a time where craftsmanship (and craftwomanship) still sat alongside early mass-production as epitomised by the dark satanic mills. Novels were carefully crafted for a well-educated readership and I think it shows.
Secondly and far more importantly I think, there is a parallel-world aspect, almost like science fiction but more real. Classic novels depict worlds which once existed but have now gone, worlds similar to our own, but still far enough removed to fascinate by their multitude of differences.
There really was a Dickensian London with its debtor’s prisons and workhouses, a Russia where the elite spoke French, admired Paris fashions and English guns and bought serfs to run their estates. There really was a freewheeling America where people like George F. Babbitt plied their trade and climbed the social ladder.
My absorption with classic fiction isn’t historical though, but more cultural. Things can be different because they have been different - and will be different again. So as evening falls, it's time to draw the curtains, light a candle, stoke the fire and with a glass of wine at my elbow, revisit Victorian England with Wilkie Collins as my guide.