Yes they do? You can install system wide Tor on android. If you are referring to the fact that phones emit signals that can be triangulated, that doesn't interfere with anonymity in and of itself.
"Everywhere you go, even when you're not actively using your phone, it's still listening." - Edward Snowden
With a SIM card, you are by definition always tracked and identified individually. It's how the technology is designed to function. You can remove the SIM card, harden your OS, randomize your Wifi MAC but at that point you aren't really using a _cell phone_ anymore.