I would argue that it is mainly Andrea who keeps secrets in this classic Spanish novel. When she arrives in Barcelona to attend university, she discovers members of a family who are extremely dysfunctional and unable to provide her with a warm, nurturing home environment. She therefore retreats into herself, which is a form of secret keeping.
It is at university that Andrea gradually starts to get to know herself, tucking herself firmly under the wing of the beautiful, popular Ena. Andrea, with her shabby clothes and impoverished background, is now inhabiting a world in which she doesn't belong—another fact which she strives to keep a secret.
She goes as far as to keep her poverty a secret by living it up for a few days every month, spending her entire allowance, and then virtually starving for the remainder of the month.
Ena has her own secrets as well, specifically with regard to her mother. In her misguided attempt to end Andrea's friendship with Román, Ena happens upon these secrets and discovers a slightly disturbing side to her much-loved friend.
In my opinion, keeping these secrets rather than finding friends with whom she could be honest adds to Andrea's intense feelings of isolation and her inability to fit in.