Of course it has to do with primes that are used to encrypt stuff:
"The possession of certain prime numbers is illegal in the US. For instance, one of these primes can be used to break a DVD's copyright encryption."
Basically, it's because a particular (very large) prime number can be used as a password to unlock stuff that someone intended to keep locked. Of course, you don't just need the number, you need to know what it unlocks, and how to do it.
If someone just sends you a big prime, and tells you there's something valuable you could get with it, it's a bit like someone sending you a safety deposit box key - with no indication of what bank you need to visit.
It's not clear to me, anyway, that anyone has been sent to jail just for possessing one of these numbers. But I've heard some of these laws are written broadly.
If I had an illegal prime,
I'd try my best to make it rhyme,
but that I fear might make it worse -
since that would be illegal verse.