That was always one of the worst standard brain-teaser questions because so many people who asked it didn't know the correct answer.
Hint: If your answer was that a circular cover is the only shape that can't fall down the matching hole, everything you think you know about the world is wrong and the term you're looking for is "curve of constant width".
The real answer is because manhole covers are mass produced and manufacturing circular ones is usually easier and cheaper than the alternatives.