The distributor for Rockstar Games in the UAE has come out and confirmed that the UAE's National Media Council (NMC), in other words, the UAE equivalent of OFLC or ESRB, has banned the game due...

...to the game's controversial content, which features strong violence and drug use and is therefore not in keeping with the religious, cultural, political and moral values of the United Arab Emirates.

Although if your dying to get the game, and you're a traveler to the region, then you can still pick it up in any Duty Free stores. This is as these stores are not under the NMC which governs the inner UAE.