There are at least two reasons that I can think of..

1. caller:

   sub whoami {
       print +(caller 1)[3], $/
   }
                                                                         
   +          
   *main::foo = sub { whoami() };
                                                                         
   +          
   foo();
   
   __END__
   main::__ANON__
   [download]

2. DProf:

   *main::foo = sub { sleep 1; };
                                                                         
   +          
   foo() for 1..5;
   
   __END__
   $ perl -d:DProf foo.pl
   $ dprofpp tmon.out
   Total Elapsed Time =  5.00996 Seconds
     User+System Time =        0 Seconds
   Exclusive Times
   %Time ExclSec CumulS #Calls sec/call Csec/c  Name
    0.00       - -0.000      5        -      -  main::__ANON__
   [download]

When you have a lot of different anonymous subs floating around, it's a pain in the butt to profile, because all calls to anonymous subs land in main::__ANON__ as far as DProf is concerned.

There's a trick involving local *__ANON__, which works for caller but not DProf.