"Do not try and bend the spoon. That's impossible. Instead, only realize the truth... THERE IS NO SPOON. Then you will see that it not the spoon that bends, it is yourself." - little bold kid from the Matrix.
So the the spoon is the matrix and the matrix is an illusion. The Matrix is virtual reality mistaken as reality, it isn't real, but its plugged into your nervous system so its indistinguishable from reality.
When you take the red pill you're not taking anything, there is no red pill, you're simply giving permission to Morpheus that you want to be taken out of virtual reality.
Out of the Matrix you see that you were plugged into it with tubes feeding you with fake information, that you existed in a vat and that you were being harvested for nuclear fusion by machines.
Although actually seeing this fact isn't enough to make you understand that the matrix is only simulated. After your muscle are rebuilt, because you've never used them before, you plug straight back in.
But you still think the Matrix is real. If you die in the Matrix you die in reality because you can't distinguish it from reality. The Matrix is not just very convincing, it can't be distinguished from reality. So much so that even knowing its virtual reality doesn't makes that much difference (which is quite surprising when you think about it).
THE PROBLEM.
When you're in the matrix there is no check or way of realizing its not real and even after getting out and being explicitly told "this is not real, there is no air you're breathing, there is no spoon" you STILL can't distinguish it from reality. Even after seeing yourself plugged into it and waking up from it isn't enough of a proof for the mind.
The problem is once you introduce the possibility of a virtual world into the actual world and the two cannot be distinguished at all then you have a real problem.
How do you know your new reality, in Zion, is real? If you take the red pill and go into the "real" world how do you know that Zion isn't just another matrix? The only tangible difference is the color palette. The matrix is green and the real world is blue.
Zion could simply be a second layer, made by the machines, for people who aren't convinced by the first layer of the Matrix.
Someone could come up to you on the Nebuchadnezzar and offer you another pair of pills. You take the red pill again and wake up in the third layer, think that's real for a while and then you are offered another pair of pills ad infinitum. Don't forget you thought the matrix was real once too and even knowing its not real isn't enough to break the spell.
It's just red pills all the way down.