The problem is that these people voluntarily expend a heck of a lot of energy and effort keeping themselves secret. All the time. Because one slip could ruin all. For no, or marginal, in-story reason. I have heard people claim it was for fear of persecution, but in real life, no persecuted people have gone into hiding like that while the persecution was going on. Let alone for generations after. As for the danger, most urban fantasies are heavily populated by secret folk who could eat your average human for lunch. Even in Harry Potter, it is carefully noted that the witch trials didn't harm any actual wizards or witches, who could easily protect themselves from the fire. (And the claim is not made that they hid for that reason, but then, no other claim is.)
I have heard people try to claim that if they were taught from childhood to be secret because it was dangerous, they would be. This founders on the obvious problem that real children are taught from early years that certain things are dangerous. Sometimes it even encourages them to do it. And if the personality types of those in the masquerade differ from normal humans, it seems to me that they mostly differ in more courage, more impulsiveness, more love of danger -- exactly the traits that would find it most intriguing. And if a character faithfully adheres every single day BUT one, it could be fatal.
Not a problem, to be sure, when they do not do it voluntarily. Neverwhere manages nicely. It's a piece of powerful magic that lets even Richard escape. Most have no chance. Percy Jackson with the Mist was much the same, though introducing a goddess who controlled it, however, might lead to its not being as coherent. L. Jagi Lamplighter's The Unexpected Enlightenment of Rachel Griffin might hit on it too. We even have people question whether, just as the Wise hide themselves from the Unwary, there might be others acting toward the Wise as if they were the Unwary. But its chief advantage is that we know that the world's history has been, and is being, altered to its current configuration. A powerful and unscrupulous force that can, for instance, remove wings from an angel's statue because in the altered history, no one believes in, or has even heard of, angels, and do so retroactively -- a girl who saw the statue and was baffled by it later sees it without wings and with moss covering where the wings had been -- could throw that in for purposes of its own.
Lamplighter also has the only work where I've really seen it justified. In the Prospero's Daughter trilogy, it's enforced by a non-hereditary, self-selecting elite -- no more hereditary than say, military service, at least -- so they choose the right personalities. And their motive is to suppress knowledge of magic because when people know they can get horrible powers by groveling before certain entities, they do so. When in ignorance of that, they go for Science instead, which even works better.
Another workaround is that the characters aren't the ones who do it, and they aren't knowledgeable about why. John C. Wright's Chronicles of Chaos has the Greek gods hiding from humans, and Amelia and the others never get all the details on that.
Though, to be sure, it's hard to justify. I myself have only two notions, despite much pondering, and one is specific to fairies and the other to shape-shifters.
Once upon a time, the Good Folk were worshiped as gods, at least the really powerful ones. When that fell off, when people spread more and more iron and church bells about, some of the most powerful ones sulked. They would withdraw Faerie from human reach entirely for their hostility. So they cooked up an enormous spell to keep them safely secret. You notice that this doesn't require them to think hiding that good forever, or even for a long time; once they cast it, they were caught too.
Or you could use a world with more of the harmless and ill-protected shape-shifters. Such as selkies, or swan maidens. As well as werewolves and other dangerous and powerful ones. The harmless ones would have a powerful motivation to keep them in check, and if you go by the folklore, they have a gentle, secretive nature -- not the most risk seeking of folk. Mind you, you would have to give them some powerful magic against the werewolves. But then, the werewolves might regard magic as cheating, which gives them a leg up, and when one werewolf or another goes for magic, they could watch for it, and attack with superior numbers and skill from their longer practice.
I dare say others are possible. It would be nice to see more in urban fantasy.