Do they? Perhaps this is the crux of the matter, as I would say that a democracy has no reason to keep anything secret against the best interests of its citizens. It may have some operational need of secrecy for things that are in the interest of its citizens (i.e. it's in my interest that nuclear launch codes are kept secret) or can balance these with other rights and responsibilities (i.e. the right for privacy of its officers or the duty of care in not disclosing the dispositions of its forces in a war).