Well, one fan dared to ask why he didn't have one and the dark secret came out...
...they were all murdered, and by the fan club for his fellow Monty Python member, Michael Palin, no less
But according to Michael Palin, who put a follow-up letter up on Twitter, it wasn't a murder, it was actually a mercy killing for "poor deluded victims."
RIP John Cleese fan club, you fought the good fight!