I don't think Howard Stern has one, I just think he's smart enough to recognize that tons of people kept writing / calling his show requesting it, so he humored them.
As far as other celebrities, there are those people we "assume" have one. Myriads has told us there are some celebrities lurking around, but naturally they're not coming out and announcing their presence.
Off the top of my head, here are some of the more frequently discussed...
Nicole Kidman (please, God, let us be right, and let her come over and confess to me. . .)
Drew Barrymore
Bill Murray
Quentin Tarantino (most likely a foot fetish, but who knows?)