Not true. I constantly pull my team into an office by myself for coaching. I have a lot of sensitive team members so I always pull them in the office and tell them to "get the door if they like"Not enough info in OP to formulate a hypothesis and offer advice or a solution. If it's a guy, simply say so. If its a girl, simply say so. If you choose to not label by gender, simply say so. Having a closed door discussion with anyone is a foolish thing to do. Don't do it. This is nothing new.
This way if they want privacy and don't want others to know they are coached they can have it.
If they are uncomfortable in a closed door then they can leave it open.
I also pull my team off in a closed door setting to recognize them, thank them, reward them with a soda/candy etc. I do this so my team doesn't associate being "pulled of stage" as bad. They don't know if it's good or bad. They also can't spread rumors amongst each other afterwards.
"Oh so and so got called to the principal's office" is the shit I don't want.
Just some ideas for you.