Not only about their sex lives, but just about all manner of private things. This is a culture where when you buy a book at a bookstore, they wrap it in a cover for you so that people around you won't know what you are reading.
Many drug stores have extra-opaque dark bags that you can request when you buy stuff you would rather keep private -- don't want the person next to you on the train knowing you have tampons or -- heaven forbid -- hemmhoroid creme. (Of course a small subset of those train riders won't feel any special compunction to hide their 800-page comic book featuring anthropomorphized household appliances coming live at night and raping strangely compliant schoolgirls, but those people are the exception that proves my rule.)
I think the Japanese would be about the least open about the intimate details of their sex lives than basically any modern advanced democratic population.
(The shyness comes from that in a large fraction of quarrels someone(s) will be carried away, in pieces. You don't cause offense without very good reason. Not sober, anyway.)