Like bitcoin itself, the anonymity of bitcoin is also a chain. Bitcoins can be mined anonymously, and therefore transacted anonymously. But any point where they are converted to other stores of value will create connections to real-world identity. For example, cash has to be picked up in a physical place, or it has to be transfered into a bank account, which creates an auditable transaction record. Purchased objects have to be delivered somewhere. Purchased services are interacted with in some way. Etc.