Craig Groeschel, Pastor of Lifechurch.tv, in the series Masquerade, mentions two reasons we need to confess our short-comings.
Confession to God = Forgiveness
When we tell God we missed the mark, he is faithful to forgive us.
1 John 1:9
9 If we confess our sins, he is faithful and just and will forgive us our sins and purify us from all unrighteousness.
Confession to People = Healing
There is a weight that is lifted when we reveal what we have been hiding. You can be forgiven, but still can be hurt. Healing begins when we let someone else know the sin and ask for them to pray with us as we turn from our sin.
James 5:14
16 Therefore confess your sins to each other and pray for each other so that you may be healed. The prayer of a righteous man is powerful and effective.