I went through this with my now almost 5 year old. She has actually never directly asked me "why" she doesn't have a "daddy", because I have always been very careful and proactive in talking about and pointing out how every family is different. Some kids have a mom and dad, some just a mom, some have 2 moms and 2 dads, some only have a grandma or grandpa, etc. Sometimes she will mention that she doesn't have a dad, but only as an observation, while she is listing all the family members that she loves. I know that when she gets older, around 9 or 10, when she understands the biology of it all a little better, I will have to address more complex questions. Until then though, my intention is to make her childhood as magical and worry free as possible. I am taking it as it comes, but I think I will tell her in the future what I feel is the truth- a "dad" is a relationship, not an unfilled position. Some men are ready for that relationship with a child, and some are not. Her biological father was not, and there is no sadness about it, it simply is the way it is. Because he was not able to have that relationship does not mean she does not have other relationships with loving family members that were ready for it. As far as "identity" goes, we have really wonderful relationships with the bio-donors parents and extended family....biological identity goes way further than the parents of a child:)
I don't think you have to explain any further than her developmental ability will tolerate. I think her reasoning about it is just fine:) Good luck!