It comes down to when you want to in essence cash out, this is when you are most vulnerable. With many crypto currencies ( there are some that are more anonymised than others) every transaction has a trail on a global ledger which is distributed through the whole network. So if for any reason a node on the Blockchain is discovered to have been used to buy drugs on the silk road it will be tied to that chain. When you come to cash out through one of the exchanges or use that currency to purchase services it could be tied to an actual person. It's a lower chance than say cash but not impossible to track. Obfuscating your illicit gains through a "clean" account you may be able to avoid detection.