Because even though that tremendous progress has been made for the LGBT community over the last 50 years, much of society still only expects everybody to be straight, either have a penis or vagina, and will ridicule anybody that does not fit these expectations. And so coming out is difficult because we are afraid of becoming an outcast and being bullied just because we don't fit society's expectations.
Because you think there is something wrong with you, and that others will think that there is something wrong with you. Once you accept that you are different, and there is nothing wrong with that, it will not embarrass you to tell other people you want to know.