Let's say you donated money to Wikipedia and your government does not like that, well they can link that address to you, if you re-use that Bitcoin address at any of these companies and they can push that information to a wide selection of other merchants and services that accepts Bitcoin payments and order them to block payment received from that address.
Let's not generalize. This can happen only if you use centralized exchanges with full KYC to acquire coins. If you mined or earned your coins through various means, even as trivial as a forum signature campaign, there's no way to link your identity to the donation.
Also, if people knew your Bitcoin address and they linked that to your personal information, then they will be able to gather a lot information from that one address. They will know how much money you have invested in Bitcoin and also what your spending habits are and even where you live.
This information in the wrong hands, can be very dangerous, so YOU have the right to hide that information by any means possible. This is where the Mixer services comes in handy. :->
This is happening all the time when you're buying stuff online. There are companies dedicated to collecting information about your spending habits or habits in general.
It's really easy not to get your ID linked to your address. You need to start using p2p exchanges or buy and sell in person, like in physical currency exchanges.
By using mixers you're trying to patch a hole. It's always better to make sure the hole doesn't appear at all.