As an author, you're understandably proud of your books. The idea of having your name printed on the cover of a book sends a little thrill done your spine. It's your work, and you want people to know it. Some authors, though, don't have the freedom to use their own names on their work. Authors use pen names for variety of reasons, some of which might surprise you. 
Family
Every family is different, and what upsets your family may not be a big deal to someone else's. If you're writing in a genre that's in any way controversial, such as steamy romance, erotica, or political writing, it may be easier to use a pen name on your work. This keeps your privacy intact, while allowing you to publish the work that you want to do. If family gets very curious about what you do, you can write a short book under your real name and publish that as an example to us show them.
Day Job
More and more companies check prospective employees social media and online presence for hiring them, as well as monitoring current employees online use. If you work industry such as government, teaching, or counseling, your writing may seriously affect your career. Most parents wouldn't like their children's teacher writing steamy romance, while your low-level government job might just disappear if you publish books on political topics.
Genre
Some authors don't want anyone to know the type of work they do. Hard-core erotica, extreme politics, and specialty subjects such as prepper plans can all be very lucrative, but might not be topics you want associated with your daily life. You can make a good living writing these topics, but it might be much smarter using a pen name when you do. After all, it might be awkward pulling out a sample work to show aunt Sharon at the latest family reunion.
Politics
Depending on where you live, your political views can be a source of amusement for your neighbors, or might actually be a danger to you. Extremists come in all shapes and colors, and you never know who's going to object to your published political views. If you have extreme right-wing or left-wing views, you're likely to ruffle some of the feathers in your community. You may create a large following for your books, but the group opposing them can be just as large. If you live or work in an environment in which the opposite views are held dear, using a pen name can be the smartest move you make.
Your Real Name
Imagine your real name is Stephen King, Nora Roberts, or Ron Hubbard. Anyone picking up a book that you write is going to have a lot of certain expectations about the words inside. You know you're not the next Stephen King, but if reading his books has sparked an interest in horror novels, will have to publish under another name to be taken seriously. Other names are so common that it's hard to tell them apart. Her name is John Doe, Jim Smith, Sue Jones, or one of hundreds of other similar names, pen name may be the only way you can set yourself above the crowd. When you publish a book, you wanted to be memorable. If your name fades into the background, it will be hard for readers to remember you the next time they look for a book.
Gender
As much as we don't want to admit it, people still have sexist views on a variety of topics. People think of names as either male or female, and assume the author is a gender that matches their name. Unfortunately, many readers think that only certain genders can write certain genres. You'll rarely see a male name on the cover of a romance novel, and female author names on military science fiction are just as rare. It's a matter of expectation. Reading is, at the core, entertainment. Most people love the familiar and really want to take a chance on something new for their rare free time. You can still sell books if your name is the "wrong gender", but it could be an uphill battle climbing up the bestseller lists.
Keep the Faith and May the Force be with You!
