A few days ago I was told (once again) that I should find me an alias (as if…) to “differentiate my offer” and “avoid confusing my readers” – the poor creatures being of the sort, apparently, that might be shocked and confused to find I write historical fantasy, science fiction, occasionally horror, thrillers and adventure.
And confused readers apparently stop buying your stories.

Now, I usually assume my readers are strong-willed enough not to be scared off by the fact that a story of mine does not fall in the same genre as the previous. And indeed, I usually point out a number of excellent writers that wrote across all the spectrum of fiction without changing their names.
I usually mention C.J. Cherryh as a good example, or Tanith Lee, or Poul Anderson, or Jack Vance.