The Kitaev model on the honeycomb lattice has been receiving substantial attention due to the discovery of quantum spin liquid state associated with this model. Consequently, its classical partners such as the Kitaev-Heisenberg (KH) model and associated phase transitions become concerned. Specifically, an intermediate Kosterlitz-Thouless (KT) phase engaged in the transition from the high-temperature (T) disordered state to the low-T sixfold degenerate state is predicted in the isotropic KH model [Phys. Rev. Lett. 109, 187201 (2012)10.1103/PhysRevLett.109.187201], but so far no sufficient experimental proof has been reported. In this work, we consider an essential extension of this KH model on the honeycomb lattice by including the Kitaev exchange anisotropy that is non-negligible in realistic materials. The associated phase transitions are thus investigated using the Monte Carlo simulations. It is found that such an anisotropy will result in a degradation of the sixfold degeneracy of the ground state in the isotropic KH model down to the fourfold or twofold degenerate ground state, and the finite-T phase transitions will also be modified remarkably. Interestingly, the intermediate KT phase can be suppressed by this Kitaev exchange anisotropy. This work thus provides a more realistic description of the physics ingredient with the KH model and presents a possible explanation on absence of the intermediate phase in real materials where the Kitaev exchange anisotropy can be more or less available.