Well, maybe someone 'external' can't link your identity to your exchange withdrawal address, but the exchanges themselves no doubt possess all the relevant information. The same goes for any mixers you might use. All depends on the amount of logs they keep, and with whom they share the info, whether it be knowingly or otherwise.
A solutions is to keep the coins moving, preferably into separate wallets. Basically this:
Once the coins start moving, they can't reliably know which addresses you send to are actually yours.