When I read this I thought it meant do I keep role-playing a secret, like me, role-playing a secret. 
Like; if a a gay person who wasn't 'out' yet always played gay characters or females when male. Which I feel, is even more interesting of a topic to discuss.

Because I know I do, nothing like the aforementioned scenario but I have my secrets entwined with my role-playing, or some of it:

I'm a submissive person in general so playing a submissive character is very *rare* for me, I generally play a dominant powerful passive agressive character to make up for my lack thereof in real life.

Also no I do not hide the fact that I roleplay, I have a large community of friends who do as well.