[Champion of Europa]

There are tons of different explainations, like:

Quasi-religous references (Neo as Jesus, and such)
A 'shock' ending (Neo's death)
Cop out (No side losing)

etc.

If you are talking aboot why it happened in the story, it's pretty much that The Oracle only shows you want you want to see, which is why Agent Smith was getting deja vu near the end, because he was The Oracle. She doesn't show everything, or whatever. Anyway, the reason all the Smiths exploded was because Neo was an anomaly, and so was Smith. They are like each other's opposite, and without each other they don't exist. So, boom.

I hope that answers it.