"PIN Number" — why do we say it?

This is a special case of the etymological fallacy. "PIN", like almost all words in every language, has its own meaning which is divorced from its etymology (in this case, its origin as an acronym).

In fact it has two related meanings, because it is still used as a stand-alone noun, closer to its origin ("I've forgotten my PIN"), as well as in its derived sense as a modifier ("PIN number").

One of the reasons for the prevalence of the derived sense is possibly the homophony of the ordinary word "pin". It's not that it's likely to be confused with the other meaning; it's that without context it may be unclear what you are talking about, so "PIN number" serves to narrow it down and give context.

The so-called RAS syndrome is quite common. Other examples are "LCD displays" and "ATM machines." Technically, it is a form of tautology. It happens because people are not aware of what the acronym stands for, so they just use it like any other word.