I go to SCs, and get lap dances. I've had female co-workers who knew that (and were surprised I was the type). My wife knows (and sometimes goes with me).
But my current female friends don't know, because it's none of their business. It's not like I hide it, but it doesn't come up in conversation. If it did, I certainly wouldn't lie about it.
On the other hand, engaging the services of a prostitute is seen by many as a whole other level of immoral behaviour - I'm an idiot for paying to be teased, but you're a filthy pervert abuser for paying for sex. It's therefore less of a potential problem for me to be so honest.
On the other hand, I do stand up for prostitution as an industry, a stance I don't change based on my audience. I'm probably less credible when I do so since for me it's only verbal support.