Well, onto your question now.
You can visualise that a perfect gyro will remain in a constant direction. When you move parallel to the direction of this gyro, the earth surface will actually curve under your feet and you will actually be travelling in a plane (not airplane, a mathematical plane in space) formed by the direction of the gyro and a vector that is the projection of the gyro axis on the earth surface
Use the distance measurement tool to visualise it.
I can't personnally tell you more, you have three options :
- Not care and just learn the answer
- Try to think in space, wonder why you couldn't follow a small circle (intersection of a plane with any part of a sphere's surface), use a pencil and orange (or football)
- Wait for a better explanation here
When thinking and experimenting with a pencil and a football, it looks like it's possible to follow a small circle..