Actually, the twins are part of the "elete" group of bodyguards guarding the "matrix-power-broker" character that has a girlfriend (whore) called Persephone

He uses her to get to Neo to try to tempt him over to the "dark-side" sortof...

As the movie progresses, we find out her "true" need is rather simple... it is simply just... "to feel".

This "matrix-power-broker" character has a FUNKY name, that I can't remember at the moment, but anyway....