In addition to what others have said about insurance company issues, etc., remember that with all this federal regulation and oversight we probably don't know all information that we are required to report. I work with EMR systems, and there are all kinds of reports that we are required to send. I'm not sure everything that's included in them. However, you may have noticed in the last few years you are always asked if you smoke, have ever smoke, how often you drink/if you drink, and often times on questionnaire's there are questions about your mental and emotional well being. I guarantee as the gun control crowd tries to restrict more, and more if you report that you have had feelings of depression, or mental/emotional instability this will be used against you and preclude from owning firearms if the gun control crowd has their way.
So, be very careful in general what you share with your clinical staff. Pretty much EVERYTHING you tell them goes into your Electronic Medical Record where it will live forever.