The Egyptians did remove the brain. The difference between the brain and the other major organs is that the brain was not preserved in a canopic jar as the liver, lungs, stomach, and intestines were. Instead the brain was liquefied via a crook and allowed to drain out through the nasal socket. This is due to the fact that the Egyptians believed that the heart was the seat of thinking and knowledge, not the brain. I would imagine that the difficulty in removing the brain intact could have influenced the opinion of the organ, but that veers into speculation. Either way, by the time the mummification process was well established, the brain was seen as superfluous.

If you want to do more reading on the subject of mummies and mummification, I highly recommend Dr. Bob Brier's book, Egyptian Mummies: Unraveling the Secrets of an Ancient Art, which not only gives an interesting historical account of the study of mummies, but also tells the story of Dr. Brier himself conducting a mummification based on what we know about the process. He makes some mistakes (usually because he didn't follow the instructions exactly), but the learning value even in mistakes is very much worthwhile.

I thought Egyptians did remove the brain, it's the one for which the tool and method used I remember being described in the most detail in school. Where did you get the impression that the brain wasn't removed?

Followup: how much did Egyptian embalming methods change over time? Were there times when the brain was removed and other times when it wasn't?