There have been instances of ghost sightings in Egypt and other ancient locations. The reasoning why they tend to go unreported is because these ancient cultures, tended to work their beliefs and culture around ghosts. Ghosts, spirits, afterlife was a prominent part of ancient Egypt. The pyramids were built for dead Pharaohs in the sense that they would help them traverse to the next life. Why the great pyramid has a hole that goes from the top, to the main tomb chamber.
When you have ghosts, souls, demons, etc that are a part of your culture, your beliefs, your religion, there is nothing out of the ordinary for you. To them thousands of years ago, seeing a ghost, was not out of the ordinary. Today, its pretty much out of the ordinary, why there is so much attention towards it.
However, as jdetterline said before me, a lot of these places are sacred. They are ancient, historical places that are heavily patrolled. They are tourist hotspots. In order for someone to fully investigate it, they would need to deny access to the great pyramids for several hours. Plus you also have religious beliefs as well.