I can understand why some people would be embarrassed... its because some people are too self conscious to truly be who they are, most people want to be accepted as a part of larger society, so they go along with what the norm is and try not to differentiate with it.
Here is a few points in case.
At work (I work as a mechanical Engineer, on construction site's and other places/buildings that are having construction works done to them) I'm not too entirely sure in how it came up, maybe due to the fact that I am a big comic book reader and into Sci-fi and things of that nature (also into sports, music, films, cooking etc etc, but all nerdy stuff does not go unnoticed to me), and my brother brings up that he thinks its sad & immature that I still read comics all the time, and that i'm reading the game of thrones novels. Anyways this goes on and he says nobody really watches any of that shit and because of it I am sad. And I asked out of who was there would rather watch shows like star trek or supernatural or lost or heroes or Whatever over the shitty soap operas that he has to watch with his wife...
The fella we was working for said he totally disagree'd with my brother and that he was a big sci-fi fan too, and in fact watched star trek religiously. My co-worker whom I knew HATED all reality tv shows, soaps etc said he watched nearly every sci-fi/fantasy show that was on television, and mentioned how much he used to love babylon 5 as well. My cousin chimed in trying to play it that of someone who was above such shit and said he would rather watch gay porn than a shitty star trek show, which i rumbled him for because we always talk about shows like Misfits, Torchwood, Doctor Who AND he watched Star Trek all the time. We made fun of him for the gay porn thing, but that was meant as a joke anyway. What Im getting at is that unless asked most people don't really talk about stuff that they like if its not of the norm (like mind-numbing reoccurring conversations about if so-and-so watched the game last night, who certain teams should buy etc.) but people do still get embarrassed to a degree.
Point in case 2. When i was at secondary school (i guess high school for those in the US/Canada, not sure how school grade system works entirely) I never hid the fact that I was a wrestling fan, never really cared too much to be honest. I was never bullied for it, although people do as a rule, make the odd comment here and there. Apart from my friends nobody really ever mentioned that they were a fan of pro wrestling... BUT whenever people heard us talking about it they would chime in with the:
"I don't really watch it anymore, but i saw it the other day and..."
"Oh yeah man that was awesome, i caught it on the tv, its not as good as it used to be"
"you watch wrestling? I thought I was the only one that still watched it"
This still goes on now with people, another one of my co-workers, pretends he doesn't watch it anymore but still so happens to know all the major things that happen in it. LIKE the recent CM Punk/Cena storyline. Even around my town in the pubs and stuff i always hear people talking about wrestling, but always hushed and never really open.
I don't know why people are so embarrassed by it when it is obviously awesome. But then again I guess my view on it is why Im such a friggin' mark.