Thanks for the suggestion! We deliberately do not allow "anywhere" as it will significantly increase the amount of noise in the system.
There's no way to determine whether someone that has their relocation preference set to anywhere has the legal right to work at any given location, and most locations would probably only be considered for that one in a million job. But in the mean time, this person will show up in significantly more searches. Most of the additional people the employers would find would probably not be interested in working for them (or the employer wouldn't be willing to relocate them), and most of the additional messages candidates would get would be for positions/places they would not consider. But to determine this the extra profiles need to be scanned and the extra messages read and responded to.
The added noise would end up diminishing the overall quality of the search results and messages, which would not be a good thing.