According to an article from BBC News, The Matrix Reloaded is just a bit too religious to be shown in Egypt.

The concern is that the "social peace" will be disrupted if people discuss the origin of creation.

The article hints at some concern over the use "Zion" as the name of the resistance city surrounded by the invaders as being a bit too close to home for the Middle East.

Frankly, I think there is more problem with the parallels of the oppressive nature of the controls that the system has on its occupants and that the exposure of such a system might cause people to think twice about the manipulations by the government...