To be honest, all students who have trouble grasping this have an intuition that tells them there must be a last 9, because humans can't see something infinite just as they can't see the fourth dimension. A mathematician can tell you that a four-dimensional cube, tesseract, has 16 vertices. The thing with this is the mathematician can't see four dimensions as well, but he can understand it.
I usually go to the talk page of Wikipedia about this topic and I even read some arguments like "What does 0.9999...988888... equal?" This shows that people have trouble that "an infinite number of nines" actually means "there can't be anything other than another nine after the nines, because there is a nine after every nine". The usual argument used to show that 1=0.999... is as follows: x=0.999... so 10x=9.999... and 10x-x=9x=9, hence x=1=0.999... Of course, the reason we can just multiply by 10 and subtract is because a sequence multiplied by a scalar (or a constant) converges to the limit of the original sequence times that scalar. Oops! What is convergence?
The logic here is actually clear but convergence can't be formally explained at the level that this is taught. Normally, the first argument is enough to convince most; but I have seen people who ask "Isn't there one nine less in 10x?", which is a pretty natural question for a student who can't grasp infinity to ask. It would be reasonable to answer "Because infinity minus one is still infinity", but not having defined "infinity" properly, and without limits, our argument is in vain. I do think this is the most intuitive explanation, and this small lack of justification relies on the reader's intuition, which is to be expected as this is an intuitive proof.
After this, I'd like to reply to the OP: Mathematical concepts do not have to exist in reality, just like a 5-sphere doesn't exist (or does it? String theory might indicate it actually does.), infinity does not have to exist either. Mathematics seeks to create a logically consistent set of theorems and axioms. The science that actually tries to model the real world is physics, which has laws that are based on experimentation; and it uses mathematical spaces where these laws hold true to model the nature. Mathematical axioms are not laws and a mathematician can easily work in another axiomatic system as long as it is consistent.