Because they are more secure there. These are irreplaceable items. Pick your favorite cultural artifact, would you help move it to a more secure location if there was a lot of instability that could lead to it being destroyed? Even if that more secure location was a different country? I personally would.
Sorry: I must have explained myself badly. We agree (I preder the artifacts in, say, London rather than in modern “Egypt”).
I'm sure your keepsakes would be more secure in my safe deposit box but that doesn't give me the right to break into your house and take your shit.
I would recommend reading "Africa is Not a Country" that delves into this exact question. It is the pinnacle of self-serving arguments for European countries to first spend centuries colonising Africa, stolen its wealth and cultural artifacts, enriching themselves in the bargain, and dividing the continent in a way that would guarantee political instability, to then use that same instability as an excuse for not returning those cultural artifacts.
Of course this article is about Indonesia - that's not a country that screams instability in any case