You especially don't want to be caught in a coffee shop with Kali on your computer!
I assume because you could potentially be arrested under the intent to potentially misuse (legally) restricted software. This would be unlikely. In the EU the following has to be fulfilled
apart from the general intent requirement, a direct intent requirement that those tools be used to commit one or more of the offences laid down in this Directive must be also fulfilled.
source: http://eur-lex.europa.eu/legal-content/EN/TXT/?qid=1377089294955&uri=CELEX:32013L0040
Basically it must be proven that you intended to commit a crime using those tools. Thats not to say you wouldn't have the hassle of trying to explain why you had those tools installed especially if there's no clear obvious reason for doing so.
But realistically the reason not to use Kali is more down to it not being a good general purpose distro that runs as root, than the tools it has installed causing legal problems.