In The Matrix Reloaded the following dialogue happens between Trinity and Morpheus during a car chase:
Trinity: You always told me to stay off the freeway.
Morpheus: Yes, that's true.
Trinity: You said it was suicide.
Morpheus: Then let us hope that I was wrong.
What's Morpheus's reason to stay away from the freeway?
Since agents can inhabit any "bluepill" person in the Matrix, the freeway poses a few issues. Yes, you can move quickly from one distant point to another, but that's of no benefit to Trinity, Morpheus, or any other awoken Matrix users. On the freeway you're locked into a narrow corridor with exits only every mile or more, and any car near you can become a weapon in the hands of an agent.
In the first film, we see that the preferred movement method of Morpheus, Trinity & friends is to keep their business relegated to places in the dense city, and when escaping agents, try to lose them in alleys or maze-like building interiors. Going up roofs or around corners, their goal is to put obstacles between them & the agents as quickly as possible, because all they need is a spare moment to find an exit while the agents are busy trying to find them again.
I think that what @Ross said was the most accurate:
Yes, you can move quickly from one distant point to another, but that's of no benefit to Trinity, Morpheus, or any other awoken Matrix users. On the freeway you're locked into a narrow corridor with exits only every mile or more, and any car near you can become a weapon in the hands of an agent.
But I'd also like to add a few points of my own. In the first movie, hidey-holes and sewers are where they prefer to hang out. In a world where any earthly force can be turned against the "red pill-ers" without repercussion, a long, exposed stretch of road, driving vehicles that are several ton weapons in the wrong conditions, and are moving too quickly to maneuvre well, it's basically a death trap. Anything from shipping trucks to the armed forces can be leveed against them. In fact, we see two agents, when hand to hand and weapons combat fail, take over the shipping trucks and crash them into each other in order to kill the "red pill-ers." There are also no hard lines from which to escape the Matrix, which is the only proven way of "winning" against the Agents.
Combine all this, and it's easy to see where an exposed highway full of strangers is suicide.
The movie uses visual cues to give you the answer to your question: they're trapped by high concrete walls & frequent wide overpasses that cover you in. They're effectively in a tunnel positively congested with enemies, potential enemies, and the normal obstacles of traffic. The freeway wouldn't be suicide if they were on it covertly, but when you're being pursued in a world fully controlled by your pursuer, your only escape is exit (land-lines, not accessible in a car chase), solitude (the opposite of a congested freeway), or anonymity (which is already out the window).
Morpheus' advice to Trinity was to not think of escape in spacial terms, i.e. getting "away", because inside the Matrix there is no "away". We're instinctually geared to think in terms of outrunning predators, so if you're not careful, in the heat of the moment you could head onto the freeway thinking that pure speed is your ally. But it's not, it means nothing in the Matrix. The only advantage people have is unpredictability, to make a choice that can't be planned for and reach safety before they can cut you off. The freeway is the opposite of that.
Well, its probably mostly to add to the drama of the movie, however we can also consider that the agents move a lot faster than the plugged-in humans, and would therefore have a lot quicker reaction times ("You moved like they do") And you tend to drive fast on a freeway. Secondly, its easy to get killed on a freeway, and the agents are not afraid to dies. Thirdly, its easy to get on a freeway, and block someone in, as it becomes a bit of a rat maze/trap.
It could be that you are farther from an "exit" (out of the matrix) when you are on the freeway. As I recall, all exits require land lines.
