Check to see that your coach is a member of the International Coach Federation. That means that the coach has been professionally trained (by an ICF approved program) and is accountable to the Code of Ethics. The Code of Ethics separates professional coaches from people who call themselves coaches. You want your coach to keep your conversations and your records strictly confidential and the Code of Ethics requires this along with other professional standards.
Ask yourself, do you want someone unaccountable knowing your innermost thoughts?