The image appears at first glance to be behind the mirror because you can see it only via light rays that travel in a straight line from the mirror to your eye. You can't see the image "from the side", so to speak.
As I described above, it is possible to capture such an image on a screen, if the object is bright enough and you position the object and screen properly so the screen doesn't block the light traveling from the object to the mirror.
Here's another thing you can try. Hold a pencil or other pointer-like object in front of the mirror. You should be able to place it in such a position that the image appears to be "stuck" to it. (By "it" I mean the pencil itself, not its image in the mirror!) That is, you can move your head and eye from side to side with the pencil and the image staying together. This is not possible if the image is behind the mirror and the pencil is in front of the mirror; they both have to be in the same location.