Choosing to tell people that you're a dancer is a personal decision. I recommend keeping it as much of a secret as possible to protect yourself from other people. While we are open-minded and deal with many different types of people daily, other people are not and may make you a target for harm if they know that you're dancing. Everybody knows that dancers make fast cash, and sometimes a lot of it. This makes you a target for people with bad intentions.
Cover Story
When making up a good cover story to protect yourself, you need to explain away a few things that differ from most people's normal routines. Your abnormal schedule, your ability to afford your lifestyle, and your flexibility. It has to be something that people can't search for and easily invalidate. If you claim to be a realtor to explain away your flexible hours and ability to make your own schedule, someone can do a quick Google search and discredit your claim.
Test the Waters
When a new person comes into your life you may gradually begin to trust them or start to test them. I like to throw a few sentences about dancers in there to gauge their reaction or ask if they've ever been to a strip club under the guise of a joke. If you see that they have an immediate negative reaction, you can keep the reality of your life under wraps.
Hiding it from those you live with
If you're in a situation where you need to keep your life private from those that you live with, keep your items in your locker at work or in the trunk of your car. When you do your laundry make sure you get it out of the washer/dryer quickly. Spray your hair with perfume and put it up before you come back into the house to cover the smell of smoke.
Not their Business
Protecting yourself is your #1 priority. Don't tell anyone you see in your day-to-day life that you're a dancer. Dance in a different city than you live in. Not every person is obligated to the truth if it puts you in danger.
At the end of the day, not everyone is a friend to you, and not everyone is open-minded. Discretion is key.