I don't think it necessarily means he is doing something illegal or morally wrong. Some people just aren't comfortable with talking about their work or other aspects of their personal lives. Maybe he works for a company that is considered controversial and he doesn't know how you will take it? Maybe his position has a stereotype attached and he doesn't want your opinion of him to change.

i.e. my friend traveled to Canada to restore some of the old oil fields used by BP. She was ashamed that she was working for an oil company so she only said she was doing 'restoration work'. Because people in this field (science in general) really have strong opinion about working for oil companies and she didn't want anyone to think less of her.

I say just be open and honest. Flat out say "so we have been talking for a while and I still have no idea who you work for?" and THEN see what his reaction is. You will be able to tell if he is just emabarrassed or shy or if he is being secretive and hiding it for other reasons.