In their 2001 paper defining periods, Kontsevich and Zagier (pdf) without further comment state that $e$ is conjecturally not a period while many other numbers showing up naturally (conjecturally) are. The former claim is repeated at many other internet sources including Wikipedia but nowhere could I find a heuristic making the conjecture that $e$ is not a period more plausible than its negation. Does anyone here know of such an argument?
EDIT: I figured it would be good measure (i.e. 'shows research effort') to write what was the best I could come up with myself. I don't find it very convincing however so feel free to ignore. The number $e$ is more or less defined as the value at a rational number (1) of a function that is a solution to a ordinary differential equation ($y' = y$) with rational boundary condition ($y(0) = 1$). Now K & F point out that all periods arise in this way (replace a rational number in the defining integral with a parameter and it will satisfy an ODE). However they also warn us that the differential equations are really special and (conjecturally) satisfy a lot of criteria among which having at most regular singularities.
Now the singularity at infinity of $y'= y$ is not regular as it has order 2 (while the equation is of order 1) but of course this proves nothing since nothing is stopping $e$ from being the value at some rational number of a solution to a much more complicated differential equation which might be of the right class. So what is missing from an argument along these lines is some way of making precise that $y'= y$ really is the simplest equation which produces $e$ and that 'therefore' more complicated equations can be 'reduced' to it by a series of simplifications innocent enough to preserve the regularity of the singularities if it exists (quod non). Now personally I would not buy such a claim if it wasn't for the fact that it is a bit akin to conjecture 1 from K & F. However this line of reasoning requires a lot of 'making precise' and perhaps is an entirely wrong way of looking at it, so better ideas are welcome!