Automatic Monkey said:
Because some people are in professions which can be identified. Let's say you're a religious studies professor at UT-Austin. It's not that hard to figure out your identity. Most people aren't that bad, but I know that based on (a) my hometown, (b) college, (c) major, and (d) current location that (1) my name, (2) current home address, (3) 4 previous home addresses, (4) my workplace, (5) my two former workplaces, and (6) the price at which I bought my house can be found with Google.
Also, some people might have flaggable aspects in their lives - attending MIT for graduate school in math, for instance, might be something you want to lie to avoid discussion.
For me, I fit a little into both categories. That's why I lie. Over the years, answering with a fake name has become as natural as answering with my real name, which I use at casinos and at restaurants (my first name is pretty common and I find it more convinient to just give an easily-spelled, uncommon name to avoid ambiguity). I use my old college job as my current job but tell the truth as to where I'm from. It's not a Witness Protection Program quality identity, but it's good enough so that I have absolutely nothing memorable about me.
Except for that time that I found an opposum in the heating duct.