It is a common misconception that Bitcoin and other cryptocurrencies are an anonymous means of payment. In fact, they are not anonymous, but pseudonymous.
To be anonymous, there can’t be any information about the sender and receiver of a transaction. You need an address to transact on a blockchain. Because this address doesn’t carry any information about their owner and anybody can generate as many addresses as they wish, we call them pseudonymous. Your address acts like a pseudonym, similar to how you might pick a username in an online forum.
Through increasingly more powerful data analysis, it is possible to link real-world identities to cryptocurrency addresses. The more transactions you have received and send, the more metadata there is. This metadata can include the IP address a transaction originated from or frequent transaction partners. Exchanges might also log the addresses you use to withdraw funds and can thereby link your addresses to your identity.