The general feeling was that each organized religion should only have one empire, just as each has only one religious head. Arguably, we could have de jure empires in Spain (which was recognized only within the Peninsula) and in Ethiopia (which was Oriental Christian and isolated from the rest of Christendom until the XVI century IIRC). In vanilla CK2, the two empires cover Germany + Bohemia and a much more generous part of the eastern Mediterranean and southern Italy + Sicily. The borders are ultimately easy to change in the game files, but what exists in the vanilla game is as close to historically accurate as you can get with the game engine.
Mod, mod, mod to your heart's content of course, it's not that hard to add new empires. But unlike CK1, a duchy must be entirely in the same kingdom, and each kingdom can only be part of a single empire. You will notice for example that the Kingdoms of Sicily, Syria, Croatia, and Jerusalem are all part of the Byzantine Empire, even though these lands are ruled in 1066 by Norman Catholics and Arab Muslims. A Byzantinophile could easily add Egypt and larger parts of Catholic Europe to the mix.