The description of quantized collective excitations stands as a landmark in the quantum theory of condensed matter. A prominent example occurs in conventional magnets, which support bosonic magnons-quantized harmonic fluctuations of the ordered spins. In striking contrast is the recent discovery that strongly spin-orbital-coupled magnets, such as α-RuCl₃, may display a broad excitation continuum inconsistent with conventional magnons. Due to incomplete knowledge of the underlying interactions unraveling the nature of this continuum remains challenging. The most discussed explanation refers to a coherent continuum of fractional excitations analogous to the celebrated Kitaev spin liquid. Here, we present a more general scenario. We propose that the observed continuum represents incoherent excitations originating from strong magnetic anharmonicity that naturally occurs in such materials. This scenario fully explains the observed inelastic magnetic response of α-RuCl₃ and reveals the presence of nontrivial excitations in such materials extending well beyond the Kitaev state.