Secrecy and anonymity are very different things. When you use a pseudonym, the information is not secret, it's just not linked to a real-world person, so it's anonymous.
The thing is, it's getting easier and easier to break down that anonymity. Advertisers are driving this technology forward, but it turns out that even with cookies and flash fully disabled, it's quite easy to track people across the internet and tie their pseudonyms to their names. Every computer is a little bit different, so if you start to combine the information websites can find out about a computer using only legitimate API calls you soon find it's a lot of information. The list of fonts you do and don't have installed, combined with your screen resolution, what browser you use, what plugins you have installed etc. etc. etc. soon adds up to the point that you can have a 98% confidence that two supposedly anonymous users are the same user.
Of course you have the more straightforward threat too, your ISP sees all your traffic, so your ISP knows that your user on this forum is the same person as some other user on your bank's website is the same person who IMs with X username, is the same person as such and such a Facebook page etc..
The chances are you're a lot less anonymous than you think you are, and with ever day that passes you're getting just a little less anonymous. The trend is strongly in the direction of anonymity breaking down unfortunately.
If you want to keep something secret, best not to post it on line at all!
B.