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You can create a smart list with "Is Anonymous = true". This will give you all anonymous leads. You can select all anonymous leads and delete them.
Marketo doesn't charge you for anonymous leads. Is there a reason you want to delete them?
Think about deleting all Anonymous records that are older than 90 days. This is because your cookie only last that long. If they have not converted to Known by then they never will as the cookie has expired and a new anonymous cookie will drop.
I have to do this on a regular basis so I have a smart campaign batch scheduled set up to do this for me.