you will see lots of transvestites - drag queens - out and about. they are gay men and do identify as gay. they will celebrate gay pride and be frequently seen at gay parties, because that's what they're all about. they are not transgendered. it's not a small or subtle difference.
i'm relatively liberal and open about the whole thing, partly because i transitioned late and know better than to think i can sidestep the issue, but most transgendered people don't want to be deadnamed, identified as members of their previous gender, considered gay or even outed as trans at all. trans pride is not something that's visible the way that gay pride is. we do not want to march down streets or celebrate in queer subcultures, we want to blend in to normal society and not be noticed as trans at all.