Imagine you are standing in a moving train at speed. If you want to take a seat to the rear of the car, do you just jump vertically and allow the back of the car to come to you? No, that would not happen—you would land right where you jumped from, even though the train is moving.
Everything on earth is moving with the earth in the direction of rotation. So your forward velocity is the same as the earth's, and you are still carried in that direction when you leave the ground. So you are in reality jumping up and FORWARD at the speed of the earth's rotation at your location. To be hit by the wall, you would somehow have to stop your forward motion, which would be equivalent to jumping backward at the speed of the earth's rotation.
A description of an object's motion is dependent on the frame of reference. When you jump straight up, from the perspective of someone on earth, moving with the earth, it appears you are jumping straight up (because the observer is moving with the earth, too). However, if an observer were to stand somewhere in space and observe the situation, your motion would be more complex, some sort of arc determined by the vectors of your jump's vertical velocity, the earth's rotation, etc.
That the observer matters is clearly seen from the train example. When you jump up and land in the same spot, that is with the train as the frame of reference; with the ground as the frame of reference, though, and observer watching the train go by would see you land further along the track with respect to the ground.