I got the anonymous gravatar worked. I posted it here because when I tried to google "drupal gravatar anonymous" I got very little information about this problem.

Actually, gravatar supports anonymous user already but you have to "configure" it. It's a simple configuration, just go to Admin -> User Management -> Permission and tick the use gravatar checkbox under gravata module section. That's all.

I don't know why the author of gravatar module didn't provide this very short instruction :-<