I'm not sure if this makes this easier to answer or not, but the reason I asked this question is because I've heard three different theories about what happened and never found any proper articles regarding the issue. They are:

1. The Egyptian religion merged with the Roman religion under Roman rule.
2. They slowly converted to Christianity under the Byzantine rule and became Coptic Christians.
3. Not all Egyptians had converted to Christianity and were a minority during the Islamic conquest and they were killed off for being pagan. ( Admittedly, I heard the last theory from a guy who's a pretty well known islamophobe in my uni, so I'm not sure about the authenticity of that one)