Dude
whoa
..dude
WHOA!
dude
Sorry, I can't even think about Keanu reeves and not hear him being an idiot.
ON TOPIC: The real world would be either the wasteland of the future we all saw in the Matrix, or its a highly "malleable" reality. A more fantastic reality than this, one of magic and madness! A reason would be that the real world was too changeable and unstable, and this is a refuge of constant physical laws, slower entropy, and less chance of your whole world being unturned by the greater powers in it, whatever they may be.