The only reason you might feel embarrassed is if you feel that their perspective has any weight. Be confident in that your own culture is different and it's an acceptable living arrangement. Just like you explained so well here, explain it to them that way and don't feel ashamed about it, because it's none of their business to tell you what is ok for you.

Lastly leave telling anyone your living arrangements for those that are trusted friends, they'll be typically more accepting and understanding than others anyway. Not everyone needs to know aobut how your private life is.