Your thoughts are nothing to be ashamed of, they're just thoughts, not actions. And you don't have to share anything with anyone if you don't want to. That said, the only way the therapy process can work is if you tell her/him exactly what you're thinking and feeling. I don't have a complete idea of how therapy works myself, though I know some of it is the therapist giving you other ways of thinking about your problems and in some sense trying to give you thoughts to have handy to counter your anxiety thoughts.