As stated by a few people before, some people are either transgender, do not wish to be identified with a specific gender, and so on. However, it's often complicated to explain on a regular basis because its such a social (in some other cases physical) phenomenon.
On the subject with the "other" option, there's nothing wrong complicated about it, it's simply the option to be taken as a male, female, or other (no gender, both, trans). On the internet, it's common to be one gender in the real world and be identified by another. In real terms, it's more complex and takes time to understand if you are not familiar with the "other" gender.