Having been a few times someone's "secret", and seeing where it can lead;
One both or all relationships involved around the secret can be negatively impacted if things come to light in a sudden and negative way. (3rd party accidental discovery by a mutual acquaintance for example) which tends to prohibit any chance of explaining context rhetorics and terms to the person not party to the "secret". And the fallout can be quite damaging.
If you're OK with the risk of a relationship being explosively destroyed (possibly your own) the situation can be more positive than otherwise, but keep in mind "secrets" can become disposable when they become too much to maintain, and often when someone wants to keep you a secret, it's often because their involvement with you would cost them an "intolerable" amount of back pedaling, difficult decisions, interpersonal anguish and shame.
Not always, but often.