Preheat the oven to 375 degrees F. Line a baking sheet with parchment paper and lightly coat it with cooking spray.
Heat the olive oil in a large nonstick skillet set over medium-high heat. Add the chicken, salt and pepper, and sauté until the chicken is just cooked through.
Transfer to a bowl and add the Greek yogurt dip, red bell pepper, celery, green onions and hot sauce. Stir to combine.
Working with one egg roll wrapper at a time, lay the wrapper on a cutting board and brush the egg was around each edge.
Scoop 2 rounded tablespoons of the chicken mixture onto one edge of the wrapper, leaving a small border.
Fold in the sides and roll up the egg roll tightly. Place it on the prepared baking sheet.
Repeat with the remaining wrappers and chicken filling.
Bake until the egg rolls are golden brown, about 20 to 25 minutes.