The reason many stay closeted is very simple. It is socially unacceptable in western civilization for men to wear women's clothes. There has been progress made on this, but there are a number of problems:
1. Some locales allow discrimination against trans*. That means you could lose your job or have trouble renting an apartment if it is widely known you dress.
2. Many times, friends, spouses, SO's aren't accepting of CDing.
3. There is, unfortunately quite a bit of violence against trans*. 8 trans women, at least, have been killed so far in the US so far this year, and one of our own members was assaulted recently. The odds are, you won't encounter violence, but there are some extremely transphobic men who will have absolutely no problem doing bodily harm to you should you have the misfortune of encountering them.