Not sure why he's proud of a sexual orientation but whatever.
Here's the Bloomberg article:
http://www.businessweek.com/articles/2014-10-30/tim-cook-im-proud-to-be-gay
It wasn't a secret, but I guess he felt he had to say something about the disappointing direction of some US states, and "coming out" helps when writing such an article. However, if I were in his shoes, I'm not sure I would have used the same wording. I guess he is truly "proud" but most people I know, gay or straight, aren't actually "proud" of whatever their sexual orientation may be. It just "is".
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P.S. Off topic: I hope his legacy for new products at Apple is more than the iWatch. I still can't see a point to the thing.