Most of us feel bad about deliberately lying, and really bad about deliberately lying to our close friends, family and loved ones. But staying in the closet requires precisely that. This generates loads of guilt, and carrying around that kind of guilt is pretty unhealthy from an emotional point of view. Making matters worse, you have to expend a great deal of mental effort to maintain the facade, a task made even more complicated by the fact that you are attempting to fool those who know you best, and thus are the most difficult to fool. Staying in the closet tends to isolate you from the atheist community, and get you more involved with the theistic community than you might want to be.
People naturally gravitate towards people who are like themselves.
We tend to choose friends who share our interests, our values, and our beliefs. But if everybody thinks you are a theist, then atheists will tend to stay away, while theists will want to get closer to you. This is the exact opposite of what you want. By coming out, those around you who are atheists will be more likely to befriend you, providing you with much-needed emotional support. Staying in the closet steals away time.