Well, Susan Flannery is an easy example. When she was rising in Hollywood she was almost certainly told by bosses that if she came out as a lesbian, her career would be over. So while it was an open secret in Hollywood, it was never written about or allowed to become fodder for discussion among the rest of the country. Over time she likely got used to keeping her personal life out of interviews, and publicists likely had nodding agreements with the press to gloss over her personal life. Times obviously changed and it is not a career killer to come out of the closet, but people who have spent most of their lives being discreet about such things aren't likely to suddenly 'get their freak on' and broadcast their private lives to the world.
There are many other actors who shy away (or totally avoid) the press because they value their privacy and don't want people to profit off their private lives. Just because they perform on TV doesn't mean they owe anything to the public other than a good performance. Yes, many actors are by nature gregarious and (maybe) attention-seeking, but it's not universal. When an actor is young and single, it might not matter as much if they talk about their lives to the press. But once they acquire a spouse, kids, etc. they (like everyone else) develops a need to protect them from possible harm. Let's face it: some press outlets have no qualms about profiting off the misfortune or scandals (genuine or made up) of the subjects they cover, and this causes a lot of mistrust of the press. If you have a friend who makes up gossip about you or your family, you start to avoid that friend.
Some people think they can use the press to their advantage, while others understand that the press can use YOU to their advantage. So engaging with the press is often a double-edged sword that some choose not to handle.