I'm reading Stephen King's The Running Man, one of the infamous "Bachman Books". King's essay "The Importance of Being Bachman" should be required reading for anyone considering publishing under a pseudonym. Even as far back as the 80s it was impossible for someone to remain completely anonymous. Today, with the internet, social networking, and search engines, it's downright impossible to maintain any level of anonymity. Curious and enquiring minds will discover the true identity.
Is this a reason not to employ a pen name? Yes. Is it the final word? No. There are other considerations, but King's experience should be part of the decision-making process. Complete anonymity as a writer is a thing of the past.