Frankly, it’s not shame, it’s common sense and personal security. Unless I’m out in the field, I don’t want anyone knowing that I’m carrying. Open carry doesn’t just advertise to the hysterical public. Open carry in urban or suburban settings clearly advertises to the bad guys that you need to be taken out first. This, not to mention the hassle you WILL get when you attract the attention of law enforcement.
While about 45% of American households have firearms, most recent estimates are that about 6 million Americans legally carry firearms on a daily basis out of a population of 300 million. That comes out to less than 2 percent of the population. Even if every single one of them openly carried, that would still be uncommon and attract attention.