That heavily depends where you are, what your support looks like, and of course, what your internal resources are. The point of coming out is both to live your life authentically and to improve all LGBTQ+ people’s safety and fulfillment by improving visibility and thereby acclimate the rest of the world to our existence. I don’t know if it was always a “celebration”—certainly for many of us it has been a fight—but it’s still worthwhile.
Each of us has to evaluate our own risk factors. If coming out of exposes you to more danger than you can sustain, then don’t do it. I have been assaulted (without real injury), been called names, and had death threats. I don’t like those things but I don’t regret being out.