Should you keep silent from your SO about the romance you read?

So I was in the bookstore the other day and my fiance comes up behind me, impatient because I take "sooo long." I was in the romance section and then turned to him to honestly say, I'm looking for Indian romances. I told him they're hard to find but we would go when I finished looking for them.

Him: ......

I told him I get in the mood for those types every few years, not thinking much of admitting this to him, but trying to innocently explain. I told him I like the drama stories with them.

Him: ......

Him: .....You have a thing for Indians?

Me: No, I just like historical Indian romances sometimes for some reason.

Him: You want to be a squaw?

Me: No!

Him: I should go home and put on a long-haired wig and put a feather in my hair.

Me: .......

The torment doesn't end here. There were many, many more jokes. I told him when trying to explain it away that a lot of women like cowboy romances, but I never did. He said yeah, because they kill indians. I said that's not the reason (grrr!), I just don't like the ranch atmosphere like that.

In the car he suddenly turns from joking to serious. He starts talking about women reading romances because they are lacking something they want or need in their personal lives or relationships. I told him that's complete bogus and there have been ridiculous articles like that which women know are wrong.

It worsens even more when we're in the gas station and he pokes me and says about the guy in front of me, there's your hot Indian. *Blush* I have no idea what the guy in front of me was, but looking at him (which I was in no way doing before he was pointed out), he did look half Indianish.

Thankfully this torment only lasted the day and seems to have appeared (SEEMS TO) from his mind. The question is, is it better keep mum about romances us women like when talking to our significant others? For humor reasons, or insecurity ones?