Which doesn’t make sense. Therefore my confusion.

There are people who do not identify as having a gender, this is commonly referred to as “Agender”. People who identify as Agender may not identify with the concept of gender, some may attempt to present gender neutral, while others may not make an effort to present any specific way. It’s one of the many NonBinary identities, that is people who don’t identify as exclusively male or female. I can understand though that for some it might be confusing as it has only been receiving mainstream recognition relatively recently.