How come "Prefer not to say" is not listed as a default choice?

We have found that giving an explicitly listed option to not identify increases the number of people that decide not to self-identify. Through user research we found that by mentioning that all demographics are optional, about 5-10% of respondents don't list their demographics (by not answering those questions). But when given an explicit "Prefer not to say," the non-response rate doubled. Considering this, there are certain demographics, that for reasons of sensitivity or legal purposes, the specific option to not answer is necessary. In particular, we include the explicit "Prefer not to say" option for the gender identity/sexual orientation question.