Fast moving rigidbodies can go through other objects. To try and avoid this, on your rigidbody set the Collision Detection mode from the default “Discrete” to “Continuous Dynamic”. Note that Continuous Dynamic is more costly performance wise, but dont worry too much about that unless you are using it on many many rigidbodies.
Also, your question is a very commonly asked question that most people will be tired of answering at this point. In the future, you will be better off googling these types of things instead of asking it here =)
We need a physics troubleshooting bible with a list of all common beginner issues and their potential fixes, ranging from this to raycasts not hitting targets, etc.