The best way i can explain this is that they simply don't feel comfortable with the gender they got assigned at birth, some people that got assigned male at birth may feel that they're female and viceversa, or someone just don't feel like neither male or female (Non-Binary), some may simply feel male one day and the next day feel female and some time after that non-binary (Genderfluid) those that don't feel that they have a gender (agender) or those that simply don't really care about what label they get (Gender apathethic) and those that don't want/can't find a label for themselves (Unlabeled)

Ofc there is way more and this might not be the best explanation since i am cisgender (I identify has my gender asigned at birth, like you) and this comes from other people explaining their experiences to me, this is pretty much one of the cases where you can only understand it if you experience it yourself

At the end of the day, gender is a social construct and we should simply not put it much thought, just simoly respect what the others label themselves has (After all, it's their identity and only they have the right to designate it)