That specific situation hasn't occured for me, but I am slowly "Coming out of the dice closet" so to speak. I guess it's a lot of leftover emotional baggage for me. I was the skinny kid in jr. high & high school that was a DnD "weirdo." I was hassled by bible-nuts and jocks and all those things that so many of us probably dealt with to some degree.
Of course, now I'm mid-30's, married with a kid & house & job. I'm 6' & 190# so not too many people bully me any more.

Not to mention I'm a computer tech at work so RPGs are actually a sign of my geek status

Yet I still have to screw up my courage to read a gaming book on the train to work.
My wife never gamed as a kid (she started after we were married) so she has only experienced it as an adult. She would read the PHB on the bus and leave it on her desk at work without a second thought. She tells me I'm being foolish when I get self-conscious about gaming.
She's right, of course. I have gotten to the point where I will actually mention gaming -in general terms- now & again. One of my co-workers is a player in my game and I wouldn't feel right "outing" her, so I keep geek-talk to a minimum at work.
Two of my other players are adamant about keeping their gaming secret from other people. One of them tells his friends & family that he's "playing cards" on Thursday nights. Only his younger brother & wife know he games (he's 36, btw). I know I'm less paranoid about it than them, but I still have a ways to go before I'm 100% comfortable discussing gaming with non-gaming co-workers, etc.