The great actress lived near Largo di Torre Argentina in Rome, site of important ancient ruins. She would go out in the evening with a basket full of food, a scarf on her head in an attempt to disguise herself (to humans). The square is still a hangout for kittehs, who now have an all-volunteer cat sanctuary to look after them.
Check out Anna in her day job as actress in Rossellini's neo-realist masterpiece, Rome Open City (the scene contains a spoiler).