It's only difficult if the user makes effort to stay anonymous (use P2P service to buy/sell bitcoin, use mixer, etc.), most users could be tracked easily since they use centralized exchange (which require identity verification), don't bother to use mixer and use one bitcoin address for all usage/activity.
And that's where it goes against the said word "anonymity" which isn't how Bitcoin works anyway although criminals kinda used it in the dark web a lot to somehow stay a bit anonymous and only traceable by address.
Using online exchanges kinda eliminates the idea that Bitcoin is decentralized, so I don't think that people should feel same or even anonymous or pseudonymous using centralized sites.