what is bitcoin mixer

[Buziss]

Why don't someone send coin to an exchange to buy a coin and withdraw instead of using a mixer?

One possible reason is the users are worried that the exchange will keep a log of their deposits and withdrawals, and so their bitcoin "after exchanging" can still be linked to their bitcoin "before exchanging" if the exchange turn in the data to another person/authority.

[DeboraMeeks]

Anonymises your coins!

Check out bitmixer.io for more info.