Really thinking about the original question, I think it's really two unrelated questions.
Why do tennis fans accept lesbian tennis players? The answer is, largely, they don't. Women's tennis isn't nearly as popular as men's tennis, in part because a lot of people think all female athletes are gay, and it turns them off.
Why are no ATP players out of the closet? Maybe they are. At home. Matt Bomer (White Collar) managed to have a successful acting career, and three kids with his partner, without having a press conference to announce he was gay. He was famos. He was out. To the people he actually interacted with. If some player is out in his home town, why not tell the whole world? Wrong question. WHY tell the whole world?
Steffi Graf and Andre Agassi got together and chose to keep it private til they announced they'd gotten married. Some people like to keep their private life private.
Why do straight people need to broadcast to the world their boyfriends or girlfriends? Why do I have to watch Andy Murray or Novak Djokovic or Roger Federer's female partners on my television screen at grand slams? Or the commentators gush about Roger Federer's wife and his two children? Why are gay people treated as invisible and to be treated as being ashamed of ourselves?
The message society is still sending is to heterosexual is public but to be gay is PRIVATE and SHAMEFUL and it is not.
Heterosexual privilege makes heterosexuality seem as though it is normal while being gay is treated as abnormal.
Why should gay men in sports or lesbians in sports hide in the closet?
The reason gay male athletes should come out is because we should live in a world where heterosexist privilege is no longer supreme. There are so many negative assumptions people have about gay men that we aren't masculine, that we aren't tough, that we cannot compete in sports.
Look at Orlando Cruz the Puerto Rican professional gay boxer he is ranked number 4 in the world in the featherweight division and he came OUT. Cruz proved a gay man can be TOUGH and MASCULINE and SUCCEED in sports. Cruz said he wanted to come out to show gay people and the world that a gay man can do well in a macho sport like boxing.
I think sports is different than Hollywood though. People seem to be slightly more accepting of singers and male actors coming out like Frank Ocean and Matt Bomer. However, male sports is still seen and viewed as a domain of very macho men and heterosexual men. Straight men KEEP gay male athletes in the closet the lockerroom is a hostile atmosphere for gay men.
but Matt Bomer was never in the closet before he was always OUT he just lived in a GLASS CLOSET. There are numerous pictures online of Matt Bomer making out with other men. Everyone knew Matt Bomer is gay he never hid his homosexuality.