A collar is widely known within the furry community as an icon. It is perhaps even more iconic than the wolf paw, animal ears or tail that some wear as an accessory. It's highly visible; close to one's face, it's rarely covered by clothing and not easily hidden.*
I think it has a lot more to do with the symbolism and feeling of comfort and belonging rather than wanting to associate themselves with their fursona. *= I've even heard of people wearing it around their wrists, on their clothes or wearing a scarf/turtleneck to hide the collar so only they know about it. Making it more of a personal matter rather than a statement.
Not to mention the S/M side of it, the "pet/owner" side of it, the "mate" side of it and so on. It can even serve as a secret sign to other furries that spot it, saying "I'm a furry too, let's talk once we're on in danger of being bullied over it."
That said, I also own a collar that is the same colour as my fursona (don't trust the picture), hand made and designed by me. Only, I rarely wear it any longer. I haven't for over a year. I just don't have a reason to.
I was living in a dorm at the time. First wore it when I got it in the mail, with friends, classmates and even a teacher in the same room (though with no attention at me). Teacher was all "you know, I think it's good that some people dare to be different, you know, and I think it's gusty of you, you know?" which, on its own, gave it more attention, laughs and people poking fun of it (in the bad way) than ever before. All but my friends hate it, but that's because they know me as strange already. It didn't feel very different either. From the Collar Factory, made of the softest lamb skin. I can sleep with this without any discomfort. In addition, I have a bell given to me by a friend that he bought on e-bay. He's a real anime freak so he really understood the appeal of having a bell on a collar. The tag, is of pure silver, made by another friend of mine. It was her very belated birthday gift for me. And in case you were wondering - yes, the bell rings when I walk.