This is why governments don't like bitcoins, they want everyone to hold the opinion that "privacy doesn't matter when you have nothing to hide." But the reality is that if, for example, I chat to someone who is a known political activist strongly critical of some government. Due to the government's surveillance and social media, it can be supposed that my assosiation with this person becomes easily determinable by entering a few keystrokes. I have done nothing wrong, I could have just been talking about the wheather, and yet I think my chances for employment may have just decreased and my chances of an unpleasant encounter next time I interact with the police or border guards may have just increased.
Furthermore, an even more likely scenario is that, knowing that were I to go to talk to this person, I would be making it known to all the government agencies that are reading the messages, I am less likely to do it. The fact that I am being watched has just served to stifle dissent. I didn't do anything wrong - shit, I didn't do anything at all in fact, and yet I had something to hide.

Although, bitcoin in and of itself is not anonymous, every transaction can be traced back to an address and is public. That's why I recommend that people should use mixers.