You answer your own question. Why do they feel the need to proclaim their sexuality? Because the message all around them is that there is a risk to do so. It isn't as easy as "be who you are" for them because people like you think being who they are automatically makes them fair game for criticism and ridicule. Is asking for trouble, in your own words.
Because of that it takes courage for them to be open about who they are, and that takes community support and encouragement, which can take the shape of "proclaiming".
And the more proclaiming their is, the fewer people there will be that will see any reason to target them. That means they can go out in public and hold hands without expecting criticism AND without being "naive fools".
this, and the general idea that coming out simply exposes the broader population to how prevalent, and how constant different sexualities have existed.
Gayness is not something that suddenly happened in 1980. It's been around with humans as long as we have been humans. It has existed at roughly the same statistical rate.
The idea is that those who are willing to understand but don't, those who are unwilling to understand, or whatever, will then realize that this has been around them all along, despite their prejudices. It might shock them that their seemingly infallible ability to judge someone's character and nature has been wrong all along; but that's merely part of introducing those who remain in the dark about this long-standing community to the fact that people they have known all their lives, and of whom individual biases and assumptions never would have presented these people as "differently-inclined."
I
know that the majority of Christians are not raging uneducated lunatics like Rick Perry, despite the fact that they are the loudest and wish to represent everyone in that community; just as
I know the majority of homosexuals are not Priscilla the Drag Queen, despite the fact that they are the loudest and choose to be representative.
The general hetero community doesn't seem to understand this fact, so coming out days and "Hey, I'm gay--what do you think about that?" continue to be necessary.