Analysis
I've been asked this question countless times by people I know who have seen The Matrix. If you haven't seen the movie, I'll explain. One of the elements that makes for lots of action scenes is that the main characters have to find a working phone in order to logout of The Matrix. However, they often have cellular phones with them, but don't use them to log out. Here is my analysis.
Phones have to be rigged
Tank during the course of the movie, refers to the various phones as, "exits." Sometimes characters have to travel several blocks before finding an exit, and there are bound to be other phones along the way. This suggests that specific phones have to be rigged with a certain device or software "patch" before they can be used as an exit.
They bring the cellular phones in with them
Because the characters seem to enter the world already having cellular phones, this leads us to believe that the phones aren't a permanent part of the matrix. This could cause them to not be a viable tool for logging out. Cellular phones are also mobile, suggesting that perhaps it isn't the phone that lets them log out, but the phone line itself, which has a static location within the matrix.
Input/Output carrier signal
At the start of the film, Neo takes a pill that is supposed to distrupt his I/O carrier signal with the matrix. The rest of the team can then track the interrupts and pinpoint his location in the real world. This suggests that the phones possibly do something similar, that once rigged they're able distrupt the I/O carrier signal of the caller so their location within the matrix can traced. This would explain why the pill is only considered, "part" of the program as Morpheus puts it, and would also explain the presence of the telephone dialing by itself in that scene. The pill could've had no real function at all other than to test whether Neo was ready.
Update!
I came upon this tidbit while reading an interview with the directors, the Wachowski Brothers, on whatisthematrix.com.
Sinclair: Why were they only able to jack in through hard-lines, but still able to communicate over cell?
WachowskiBros: Sinclair, good question! Mostly we felt that the amount of information that was being sent into the Matrix required a significant portal. Those portals, we felt, were better described with the hard lines rather than cell lines. We also felt that the rebels tried to be invisible when they hacked, that's why all the entrances and exits were sort of through decrepit and low traffic areas of the Matrix.