I suppose for me it was always the same as, for instance, stating a blood type. Just a biological fact that I didn't bother to question as it seemed to fit just fine. If it isn't life-altering in a negative way people tend not question things.
For some it seems to be quite the opposite, growing up and finding that the opposite type seems the more natural fit for your proclivities.
I don't really think it's as complicated as we make it... "male" and "female" and their synonyms from other languages are just akin to a surname, using it to describe the observed biological distinction between the two sexes. Like a surname it's just another identifying name for you that you had no say in.
This system has worked for the vast majority of people, and so it persists. For some it does not work, though, and they feel obligated to adopt whichever identity best fits them.
*Edit* While they're certainly tied to one another, there is a distinction to be made between those who truly feel they were born the wrong gender and a simple overlap in gender roles. Men who marry a working wife and stay with the children, for instance, do not immediately feel they should swap genders.
