It's just incredibly hard for most people to never breathe a word of something that eats up so much of their mind like writing a book does. Especially when that work begins to recieve acclaim.
Writing has this in common with crime actually. A stunning number of people are made for a crime because they talk about it. Even to the point of many eventual exhiberstions coming when a perpetrator discusses the crime years later, believing themselves out of the woods.
I'm not sure Ferrante is an example of someone trying genuinely to remain anonymous.
There was also an infamous incident recently in which an editor used a pseudonym to hide their relation to various publishers who in turn helped bid up the price for the manuscript. https://www.newyorker.com/magazine/2019/02/11/a-suspense-nov...
More seriously, I think it's more likely that we'll eventually find a bunch of high-profile cases were built with "parallel construction".