Even if it's just that privacy laws are fucked if you live in the UK.
I can legally shield my address in my domain name details for obvious privacy purposes — no one, particularly no LGBT person, wants a disgruntled or angry person turning up at their door.
But if you set up a mailing list, as authors are encouraged to do, then you're forced to send your home address to every single person who receives an email from you. Just so you can tell them exactly where to find you if they don't like you or your writing and they're a trifle unhinged.
"But what about a PO Box? People use those!"
Yeah, rich people use PO Boxes. Current prices are £29.40 a month, £152.40 for 6 months, or £267.00 for a year. And that's for the privilege of travelling 30-45 minutes on the bus to pick up any mail myself: they're only at sorting offices. If I want it forwarded on to me, you guessed it, that's more money.
Worth it for someone who sells maybe one book a month? Nope.
So, no mailing list. It's just not worth it for the massive risk it poses.