They don't actually posit a natural right to anonymity specifically. The core idea is that the only moral use of force is self-defense. Therefore, it would be immoral for people to use force against you (in this system, laws are considered force because the government backs them with the threat of arrest) if you're not using force against them.
"Anonymous communication being a non-violent act, it is immoral to use force to suppress anonymous communication" ~= "the government has no right to shut down sites like Silk Road"