Probably because it's all made up stories in the first place?
Well, I can't speak for anyone else, but I know if I were going to make up a story, I would've picked a better celebrity. lol That's the one thing: everyone demands proof of some kind, and proof isn't an easy thing to deliver. Did you grab your camcorder and videotape the whole thing? Were there at least two witnesses who signed affadavits? Do you have a headshot, signed "thanks for the shag!"? Well, then, it couldn't have happened. lol
I'm not out to shock and awe people, even to try to make people jealous (I have no idea why someone would be... people are people if they made a movie/CD/television series or not). Sure, people lie about things all the time, from who they've slept with to how big their dick is. One person lying doesn't make it a general rule for all.
So, why the secrecy? What's there to hide by not identifying the person? Sometimes respect. Sometimes shame. Sometimes fear of ridicule. Sometimes a lie. If a journalist refuses to reveal his or her source, does that automatically make them a liar? If you experience a natural disaster and don't have a camera at the time, does that mean you weren't ever there?
There will always be someone who doesn't believe something, be it fact or fiction. What the rest of the world thinks? Well, that's up to them to decide.