Anonymity is really important for superheroes. If they didn't have alter-egos then they would remain forever divorced from the humanity they constantly defend. With a secret identity they get to double dip as both protectors of society and beneficiaries of their own good deeds. If everyone knew who they "really" were, however, they'd get nothing but 24 hour a day fanboys, sycophants, and supervillain attacks until they're driven entirely out of the very society they uphold. That's when they go crazy and become villains themselves (or at least anti-heroes).

Of course, sometimes even secret identities don't help.

Y'know, if we were really snooping we could try [potentially workable stalker technique deleted] Err, nothing, nothing!

Congratulations! Again!