Conservative Christians don’t want you to see it because they don’t want people to entertain the possibility that Jesus and Mary Magdalene were married and had a child.
Religious sect Opus Dei don’t want you to see it because they don’t like the fact that they’re depicted in the film as a bunch of self-flagellating albino weirdos.
But there’s another (and more compelling) reason not to see "The Da Vinci Code": It supposedly sucks.