I don't make small talk with people I only know casually, so yes, I'm in the RPG closet. However, I don't tell people the films I like, the books I read, or the live music events I attend. So I'm in the closet about those things as well, though most people guess what live music I like from the way I tend to dress.
As it should be. It's irritating when people are so open about themselves. Sure, if you're homosexual and you're trying to establish an identity within a hetrocentric culture, tell me you're gay. If you're a computer programmer who spends your Saturday afternoons pretending to be a high elf with 22 charisma, you're wasting my time and oxygen by needlessly announcing it. Do you want Halo players telling you how awesome it is to play a game where they get to "frag dudes" between their mountain dew runs?