I would say the chief problem is one of distance, not necessarily cultural difference so much as historical distance. Our inheritance from the Greeks comes via the Romans who, as far as Western Europe is concerned, are our direct cultural progenitors - they built or heavily developed our major cities, they spread a religion to us (albeit not one 'native' to Rome).

And these progenitors insist on the supremacy of Greek culture. The idea of latin being linked to education is baked into Western culture because of the role the church played and the fact Latin was the lingua franca of the church, but Latin readers turning to the likes of Cicero (as Petrarch did [1]) find him waxing lyrical about the cultural greatness of Greece, which spurs on others to take an interest, learn the language, discover old texts.

We don't have anything similar regarding Egypt. The texts, so far as they existed, are largely gone. In so far as modern Egyptology has been able to rediscover texts it has done so comparatively recently (compared to the 1300s when Petrarch was working!), and most of those texts are lacking in the kind of cultural richness we get from the Greeks and the Romans e.g. historical texts are largely lists of events from which details need to be inferred, not anything like Thucydides.

The cultural legacy we inherit from Egypt we do so largely indirectly. There is evidence of Egyptian influence on Greece via cross-Mediterranean trade [2] and considerably evidence of Egyptian influence on Persian and more broadly Mesopotamian culture and practices, however even in the former case you're talking about the Myceanean Greeks of the Bronze Age, not the people we are used to thinking about as 'the Ancient Greeks' of 500 BC, about as distant from us as we are from Petrarch but without the same level of record. So when Herodotus comes to write his Histories there is an awareness of Egypt as a distant, ancient 'other' but not the kind of feeling of direct inheritance which comes with the ability to trace individual ideas through time we have with the Greeks and Romans.

I think that vaguer sense of inheritance has been passed on. If you're an average Western European (culturally at least) you likely feel Egypt was more of a cultural antecedent than that Persia or Ancient India was, and maybe even than the pagan cultures of the Germanic and Gallic tribes were though that is likely hard to justify in causal terms. The emphasis on Greco-Roman antecedents is largely a consequence of the Renaissance (and post-Renaissance) fascination with them, and the fact that the Greeks had no better cultural salesmen than the Roman writers people in the Renaissance were reading to teach themselves better Latin.

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[1] Scribner, H (1920). 'Cicero as a Hellenist' in The Classical Journal
[2] Cline, E (2014) 1177 BC, the Year Civilization Collapsed - Chapter 2 has some nice examples. The book is also extremely readable if you're interested in this topic.

Apologies for any formatting issues, I am typing this up on mobile.

Part of the problem with defining the “start of philosophy” is determining what counts as philosophy. Depending on who you talk to this can vary from anything which deals with traditionally philosophical topics like ethics or metaphysics in a critical manner, to only written sources that are explicitly philosophical according to their author. Thankfully someone else has done a far better job of laying this out than I can specifically in the context of Ancient Egyptian and other early Africana philosophy.

The History of Philosophy Without Any Gaps (a podcast I highly recommend to anyone interested in the topic) has a spin-off series on Indian and Africana philosophy here:

http://hopwag2.podbean.com/feed/

(Or you can search it in your podcast player of choice)

On the podcast they dive into a number of primary and secondary sources to consider what is philosophical in nature and how these are contiguous with later African and European thought.

To pull a couple quick examples: “A discussion of a man with is Ba (soul)” is a papyrus that is missing a portion but the remaining section is a disputation between a man and his soul.

At the start, the man accuses his ba of pulling him to death too early, but as it goes on he begins to adopt the position that his life is worthless and he should just die. From here his ba starts to argue that he should continue to live because all enjoyment is in this life and he has limited time. In the end they reach a consensus position of waiting for his time and his ba supporting him when it is his time to go. This conclusion is not reached by logical disputation though, and so it is debatable if it should count as philosophy to those who interpret philosophy as strictly material that is explicitly philosophy according to the authors.

There are also a number of papyri that have been translated that contain instructions on how to live. One of the oldest is “The Maxims of Ptahhotep” which comes from the Old or Middle Kingdom and is a set of instructions from an advisor to the ruler named Ptahhotep. It deals extensively with a term which is often left as an untranslated technical term, maat. A discussion of maat could be an entire post unto itself, but it combines a number of ideas around good, order, justice, acting morally, and truth. While not dialectical in nature, work concerning the good life and how one ought to live is something that falls into the realm of ethics. So if you do not limit philosophy to only works which state that they are philosophical papyri like this one about how to live a good life may count as philosophy.

Another later papyrus called the “Instructions of Amenemope” is written as advice from a scribe to his son. It focuses even more on personal behavior and encourages not only living according to maat but to have self control and the benefits of being a “silent” man instead of a “heated” man. While the actual relationship is still being debated there are a number of similarities between this work and the Biblical books of Proverbs and Psalms. Even if there is no direct relationship Egyptian papyri show some of the first examples of these ideas that continued later into Western thought.

I know that was a bit long, but there is a lot to say about this topic. We did not even start to talk about what the Greek philosophers wrote about Egyptians and their knowledge, but I would highly recommend listening to the podcast for a more thorough examination of the topic and more primary and secondary sources.

TLDR; it is hard to define what work is “philosophical” but Ancient Egyptians dealt with topics that we would now consider philosophical in at least some cases and there are some ideas from Ancient Egypt that have made their way into later philosophical traditions.

Sources: History of Africana Philosophy without Any Gaps https://historyofphilosophy.net/africana-philosophy

Full text of a translation of “A discussion of a man with is Ba” https://mjn.host.cs.st-andrews.ac.uk/egyptian/texts/corpus/pdf/Dispute.pdf

Full text of a translation of “The Maxims of Ptahhotep” https://www.ucl.ac.uk/museums-static/digitalegypt/literature/ptahhotep.html

Full text of a translation of the “Instructions of Amenenope” http://www.sofiatopia.org/maat/amen_em_apt.htm

Edit: minor typo

To add to the other answers here, the fabulously developed architecture and amount of cultural heritage was not well known in Europe prior to the turn of the 19th century.

When Napoleon invaded Egypt in 1798, he brought along hundreds of artists, cartographers, engineers, architects, and researchers to document as much about the country as possible. Between 1809 and 1829, they published all of their findings in a comprehensive series called The Description of Egypt, covering both the modern country and what they discovered about ancient Egypt, with meticulous illustrations of its art and architecture, and of soon-to-be translated for the first time hieroglyphs.

This set of a firestorm of Egyptomania in the Western World, including not only an interest in Egyptian artifacts, mummies, tourism and looting, but also an appreciation for that architecture that you mentioned. It led to a big wave of Egyptian Revival Architecture in the first half of the 1800s, right up there alongside neoclassical architecture, including monuments, like the Washington Monument being shaped like an Egyptian obelisk. Discoveries of new tombs and mummies continued the fascination into the 20th century as well. So, after all this rediscovery, they were willing to venerate Ancient Egyptian art and architecture to the extent you expected.

Again though, all of this happened after the Enlightenment. Greek and Roman sources on Egypt, and of course, the Bible, were well-known in Europe, but their picture is pretty different and doesn't inspire the same degree of reverence or uniqueness, apart from being a very old kingdom. There were no noteworthy pre-Alexander Egyptian sources being consulted and translated as part of a European tradition. From Herodotus, Egypt is a great and established state, but less noteworthy than Persia, and he sees their gods as matching Greek equivalents. Most literature would have been on an already Hellenized Egypt– things like the Lighthouse of Alexandria, Antony and Cleopatra, where their contributions are more a part of a story that began in Greece and Rome.

Ancient Egypt was clearly a highly advanced civilization, and had already existed and been well established for well over two thousand years before the high point of Athenian culture.

So much is going to depend on what exactly you mean by "highly advanced." Ancient Egypt was advanced in terms of societal organization and could clearly engineer amazing structures like the Great Pyramid. But there are also more advanced modes of thought that seem to have their genesis in Ancient Greece, especially in relation to something like explanations of natural phenomena.

Anthony Gottlieb, in his fantastic history of Western philosophy The Dream of Reason, says this (Chapter 1 The Archetypes - the Milesians):

"Another difference between Thales and his myth-making precursors is that he seems to have felt the need to give reasons for at least some of what he said. He held that the earth rests upon water, and apparently said this 'because it floated like wood and other similar substances, which are so constituted as to rest upon water but not upon air.' The question of what holds up the earth is one that most of the naturalists tried to answer. Instead of dogmatically asserting a solution, Thales thus seems to have tried to reason it out."

Those myth-making precursors are the Egyptians (and potentially the Babylonians), and Gottlieb tries to stress that in the Pre-Socratic era of Ancient Greece you are getting a community of people that are starting to stress naturalistic explanations for things in the world, rather than supernatural/theological reasons, which would have been much more the modus operandi for the Egyptians/Babylonians. It's in parts of Anatolia and the wider Greek-speaking region of the Mediterranean that you see the emergence of individuals bringing to bear more materialistic/mechanistic philosophies (think here especially of the early atomists like Democritus/Leucippus), which many centuries later form the edifice of the Scientific Revolution (and remain key themes in the modern conception of science).

That alone puts the Greeks in a class of their own during that time, though Gottlieb obviously notes that the Ancient Greeks didn't start the idea of "thinking deeply" or "philosophizing." Again, a confluence of factors likely lead to the emergence of this group of people that are rethinking how to understand things without recourse to gods and supernatural deities. But, from the historical record as we currently recognize it, this is happening in Ancient Greece and Greek-speaking colonies (in this part of the world, as a case for a similar form of philosophy appearing around the same time can be made in the Indus Valley).

In a similar vein, and touching on mathematics, the Greek contribution of mathematical deduction, or proof, (which many also trace back to Thales) forms one of the most monumental achievements of ancient Greek mathematics. Deductively proving a mathematical statement given certain axioms and operations is the means by which mathematics earns its rightful reputation as a purveyor of absolute truth. Nothing like this seems to have existed in the mathematics of Ancient Egypt (or anywhere else).

Given those two features of Ancient Greek thought alone, and saying nothing about the codification of democracy as a political idea, further developments within mathematics (including a precursor to calculus in Archimedes' method of exhaustion, axiomatic foundations of geometry in Euclid, the study of conic sections), the rapid progression of fields of study that include astronomy and medicine (Hippocrates), literature and the arts (theater, poetry)...it starts to make sense that the origin story of Western thought (here what I am assuming you mean by the "we" in your question) almost always begins in Ancient Greece rather than Ancient Egypt.