No there is nothing wrong with being an Egyptair pilot. There are plenty of Egyptians working for EK. If I had to guess I would say that your total time is probably too low. Most of the low time pilots coming to Emirates come from Ryanair. EK has hired lots of pilots from Ryanair and they know exactly what they are getting with a low time pilot from that airline. Possibly they don't know as much about training at Egyptair and are consequently not as willing to take a risk on a low time pilot from your company. If you really want to come to EK then I would suggest re-applying after getting more experience.
But if I were you I would take it as a blessing. Things are not very good at EK at the moment and you have much more opportunity at the other two big gulf airlines. Quicker upgrade and better quality of life. Good luck