Why do you feel shy? I think that is common because its what other people said here. Its somewhat because of the fear of humiliation or not knowing anything about what you are doing. Being online makes it better.
I doubt that not knowing part.
Everyone is aware of gambling and if he isn't aware of what he does, he won't gamble in the first place. But the most common reason is they are shy of being known by their relatives as a gambler. Gambling has a bad image in the industry so if they knew it that one of their relative is gambling, they feel like he has a contagious disease.