I have an ex that was not supportive of me going to therapy, so I did not tell her when I went. My wife knows though. I don't necessarily talk about what I address in therapy, but she knows I go and is very supportive of it.
I could picture myself maybe keeping it from her at first, but I am not sure I would be able to avoid talking about it at some point. Your husband doesn't have to know you are going, but you may want to examine why that is in therapy. You may find you want to tell him at some point, or you may want to keep it from him forever. It's an individual thing...