Why is catching a ball so much harder than throwing one? Catching involves advanced hand-eye coordination: A preschooler's eyes have to tell the brain where the ball is coming from and how fast it's moving, and then his brain tells the muscles where to move so he can catch it -- in less than a second.
From ages 3 to 5, he'll get better at it as he gains confidence. Still, it's a good idea to practice with a soft, lightweight Nerf ball, some balled-up socks, or a slightly deflated beach ball, and throw underhand to give him more time to see the ball coming. Don't toss hard objects like a basketball or baseball; he'll often use his upper body to block the ball into his hands, and you don't want to scare him off if a ball accidentally bops him on the nose!
As he gets a little older, you can teach him to catch with a baseball glove, but start by rolling the ball to him first. It won't be until he's around 9 that he'll be able to move his body to catch those pop-up fly balls consistently.