People are often reluctant to discuss their personal clinical depression because they think it will go away on its own, because they are embarrassed or because they simply want to avoid a painful subject. Sometimes they want to avoid having to take medication for the problem, or they may perceive the depression as something that comes and goes and therefore doesn't need treatment.
WebMD points out that depression does not tend to go away on its own. Discussing it with a doctor or therapist allows a depressed person to start treatment that may bring an end to the depression. It is not always the case that medication is needed for treatment of depression, and even when it is, the medication is usually only taken for a short duration. Those who feel they can handle their depression on their own or who only experience it from time to time may be ignoring physical symptoms stemming from the depression and may benefit from speaking to a doctor or therapist.
Anyone who feels embarrassed about being depressed should be aware that most people feel depressed at one time or another. A doctor or therapist will not share any information regarding a patient's depression and can provide a safe place to talk. Therapists do not force people to share anything they are overly uncomfortable with, so someone suffering from depression can rest assured that any therapy will proceed at a safe pace.