I used to get this question a lot. And at first I did feel embarrassed about telling people, especially family, that I write erotic stories. It's certainly not all I'll ever write but it was a damn good place to start learning about the industry. I chose erotica originally because I could see it was a fast moving section of the writing business, and I needed to learn, fast.
I also found the E-book industry to be the fastest way to gauge if I was moving in the right direction. Shorts are a great way to start the learning process to how to write a novel length work.
So now yes, I do tell people, I'm over the embarrassment. It's part of a bid industry, we are providing a service, sex is what modern women want to read. But more than that...they want it wrapped up in a quality plot with wonderful characters...anyone who thinks it's easy to do that....well you know.
I do tell family, they raise eyebrows then just smile and say, well good on you. I still hesitate when they say, oh I'll have to read some LOL. Well it depends who it is...but sometimes I wonder if they really know what it meant by erotic content.
One thing I have learned, if you aren't open and proud about what you write, then you'll never be able to fully promote it. But it does take time, and I know that laws in some places and attitudes would get some peoplw a little more than raised eyebrows. If you have a story of your own, feel free to vent here. No naming and inflaming tho. But talk about how you feel about outing yourself, it's a good step to being more confident, and likewise if you have some skills in dealing with attitude let us know.
I know Bridget Midway is wayyyyy proud about her erotic books and shouts them all over and she is becoming a big name. So if you want to succeed you'll probably have to come clean eventually....