The rationale is that the Furby can potentially record and store or repeat classified information. Serious stuff but a little funny nonetheless.
I think it's more likely to be a bomb hazard.
The chances of a security-cleared employee attempting to bring explosives into a classified workplace is so remote that you have a better chance of winning the lottery in the USA or flying to Mars.
Besides, it has nothing to do with the "vessel" itself, it's to do with the electronics inside.
If you've ever worked in such an environment, it feels like you're working in a bunker or a submarine except you can see out the window. No connectivity to the public world (no internet access, no unsecured phones, no access to mobile phone networks even if you wanted to). Forget bringing your phone inside, let alone anything that can store data. Nothing goes in, nothing comes out (except your lunch).