I suppose that when we think about the shroud of mystery that hangs over this poem, it is only logical that the Traveller should remain anonymous. After all, we receive only sparse hints about what his purpose is for making this visit, and in a sense, as the poem progresses, the focus of the poem moves to the phantom "Listeners" rather than remaining on the Traveller that the beginning of the poem focuses on.
Note the way in which the poem moves from focusing on the "voice of the world of men" to "the host of phantom listeners." These listeners stand "thronging" the stair, yet only answer the calls of the Traveller with "stillness." As we finish the poem, we are left with so many questions as we try and work out what the message of this poem is that it seems only sensible that the Traveller should remain anonymous. His anonymity adds to the mystery of the poem as we try and establish a reason for his presence.