So someone might identify as asexual who still has sexual fantasy and masturbates, watches porn, etc. Like most sexual orientations it's complicated.
Then they're not actually asexual, they have a perfectly existent sexuality. If that's going to fly, then I might as well "identify as" black, or a pilot, or a lion tamer, or anything else that I'm not and still expect everyone to take me seriously.
Alternatively, they are using a vague term in a slightly different way than you are.
Asexual can reasonably be used to mean people who are indifferent to sex, people who find sex actively unpleasant, people who are not attracted sexually to anyone in particular, people who don't experience arousal, and other related groups.
Someone could conceivably enjoys orgasms but not want to have sex with anyone. Why shouldn't they identify as asexual, if they like? It's not like they will be using their Official Asexual ID Badge to fly planes without knowing how, it's just a term they are comfortable with* and they can use to describe their sexuality.
*And when it comes to sex, sexual orientation, and related subjects, being comfortable with a term can be a pretty big deal. It's part of the reason I'm not too hard on, say, men who are attracted to other men but don't want to call themselves gay. Given the society they grew up in, it's not surprising that the word gay has a few more connotations than just "is attracted to other men", most of them negative.