He does have a name, given to him by his parents when he was very small, but he never uses it. That name is his most closely guarded secret because even beyond all folktales and superstition, names have power.
Besides, since he left the Academy as a fully-fledged Time Lord, his name hasn’t been required, his chosen designation is all the identification he needs, and in many places he doesn’t even use that. On most worlds, the people have their own names for him. Not all of them are flattering or entirely accurate, but they suffice.
Anonymity has its benefits.