Dubai give holiday on Deewali, it has temples as well.
Muscat has temples.
Qatar has temples and churches as well.
Syria still has lot of churches...list goes on.
It is only in Saudi arabia other religions are banned. The reason is clear... there are some rules you have to follow:
Women should not enter shabri mala... there may be some logical reason I donno.
No one can enter USA. (They have to get VISA) right. This is the law of the land.
In the same way, to enter into Makkah or Madina you need to get VISA (which only muslims have). If you really want to enter, get a VISA (i,e become a muslim) that is the law of the land.