Greta Christina has already succinctly argued why a person might want to maintain his or her anonymity in such a situation:
Coming out as an atheist can have serious real-world consequences. Parents get denied custody of their children for being atheists. People get harassed and vandalized by their neighbors for being atheists. Teachers get suspended for being atheists. Teenagers get harassed and suspended from school for being atheists. Politicians whip up anti-atheist fear to try to get elected. (And that's just in the US. I'm not even talking about parts of the world where atheism is a crime, punishable by imprisonment or death.)
I like Keith Olbermann, probably for the same reason that conservatives love Limbaugh or O'Reilly. The man knows how to rile up the base. And perhaps I am being hypocritical; would I have noticed - or worse, agreed - if he were discussing another group? I don't know. It's possible.
The Olbermann segment is below: