Belonging to a fandom or other special interest community is typically something that is done through self-identification, which is different than identities that are not chosen, but still part of a broader idea of identity. There are plenty of examples of these self-chosen identities: Trekkies, Potterheads, Bronies, Cumberbitches, etc. Simply watching Star Trek doesn't make you a Trekkie though, it's a label people apply to themselves when they feel invested in that thing and want to be part of a community of people who feel the same. That's all. I also hate to tell you that there are themed sex parties at Star Trek conventions too, so does that make being a Trekkie a kink? Is doing the Vulkan salute and telling someone to "live long and prosper" in public forcing that kink on others?

"Furry" is just yet another accepting group that is easy to get into for people who feel like they don't belong anywhere and others. It's quite simple and the same as many other things.