Usually I don't like to analyze songs too much because I end up not enjoying them anymore. However, this interpretation seems more like Bowie had an "inside joke" to tell.

He's not sure he wants to take the plunge and come out once and for all, since in most places, people assume that because you say you're (fill in the blank), that's the only thing about you that matters. Hey, Bowie knows that first hand from his "coming out." However, he doesn't want to just hide this piece of information and pretend it never happened (whether or not it's true is not as important as whether or not he says it,) so it's always with him.

OK, so I'm rambling. The main point is, this interpretation has made me appreciate a song that I didn't really like before. Thank you.

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Common sense is a virtue.
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The Very Nerve - download their songs!