Yes. I do. I care to keep everything private that I reasonably can. Or rather, I care to be in complete control of what information I release. I decided to use my real name as my screen name. I do so on most sites. If however, I made my screen name aawfafwef but YCombinator was for some weird legal reason required to know my full name, I would not expect to show up on the site identified as Daniel Straight.
Any information I provide about which I am not explicitly notified of its publicness I feel should be kept private.
I was dissuaded further from trying Mint when I saw that they released aggregated information on customer spending. Even aggregated, they are taking their customers' private banking data and making it available to the public. I don't care if it can't be traced back to the individual. It was a still, in my mind, a breach of privacy.
Recent tech history has shown us how un-anonymous anonymized data is. You only have to follow Hacker News or Schneier on Security to know just how often such issues come up.
Security and privacy by obscurity are never, NEVER enough. Period.
There are reasons for wanting to hide that you're gay that don't come from feeling ashamed. For example you could have close friends and family members who have severe homophobia, but whom you actually love and respect (people are multidimensional). It may or may not be inevitable that they'll find out at some point, but you'd rather have some control of when and how. Throwing up your hands and yelling "if you don't accept me for who I am then screw you!" is not the best way to handle these things.
I'm not trying to sidetrack the conversation into gay issues. This applies without loss of generality to other personal identity issues that conflict with one's surrounding culture.
(Let alone the fact that this groups people broadly into demographic clusters and "preferences" are defined vaguely as a rating between 1 and 5.)