It's an interesting point. I think it's because, over time, the definition of what a "feminist" is has been co-opted and twisted to mean something other than one who advocates for full and equal rights for women. Popular opinion leaders like Rush Limbaugh coined terms like "Femi-nazi" and "Femi-nuisance" to challenge the popular belief that emerged from the 1970s that women's equality was just, and attempt to replace that sentiment by challenging any group or belief to that end in the modern day. It has set the movement back, I would say.
The main thing isn't that women don't want equality, or that men want to stop them. I firmly belief our society has passed that point altogether and there is no going back. But because the term "feminism" is so multi-defined and subverted that it sounds radical today, you won't find many women who use the label.
This depends on what country you are talking about.
Here in the United States, the word "feminist" has gotten caught up in our "culture wars." As this has happened, it has come to have such a negative meaning to many people that a lot of women would not call themselves feminists.
A good example of this is Sarah Palin. She is certainly someone who has been a pioneer in breaking down gender roles. She was the second major party nominee for vice president who was female, and her party had a much better chance to win than was true when the Democrats had a female VP nominee in 1984.
She has become a major force in Republican politics, yet she would never call herself a feminist. This is because that term has come to have the connotation of someone who is radical and liberal in her social values. There can essentially not be a conservative feminist and so many women do not want to be called that.
This is a very distinctive and interesting question. I think that it's a timely one and a question where there might not be one distinct answer. The term "feminist" has undergone some revisionist thought over the last thirty to forty years. Some of this revision has been new and separate camps that seek to take the mantle of what it means to be a "feminist." Even within the specific waves of feminism, there are distinct and different camps present. This might be why there might be some hesitation to refer to oneself as a "feminist" because the term has come to mean so many different philosophies and value sets. The beliefs of thinkers of different waves have helped to change what the term "feminism" means. In the end, such distinction might be more academic than anything else because the ensuring of equality amongst the sexes and the open and unfettered opportunity for both are the primary driving forces behind all thinkers and participants in the discourse, whether they wish to be called "feminist" or not.