updated 05/15/2014 AT 1:00 PM ET
•originally published 05/15/2014 AT 2:45 PM ET
Billy Bean still wishes he’d handled things differently back in 1995 when he quit baseball, rather than tell his teammates that he is gay.
“The double life I was leading was just exhausting,” says Bean, who played for the Detroit Tigers, the Los Angeles Dodgers and the San Diego Padres.
He spoke with PEOPLE exclusively for a portfolio of gay professional athletes on their choices to play and live openly. Watch a video of all the athletes below.
Married young to a woman, Bean later divorced and began dating men. When he did, he moved 20 miles from the ballpark, just to avoid having teammates stop by.
The most difficult moment came a year and a half later, when his then-partner passed away.
“Think if you lost your wife or your partner and went to work and didn’t tell anybody,” says Bean, 50.
Rather than share the truth, he quit the game and, he says, “cut himself off” from friends, family and former players, because he was convinced he’d let everyone down.
“I regret making the decision the way I did, because I loved being a player so much,” admits Bean who, in 1999, was among the first gay pro baseball players to go public.
Today, Bean says, “I’m proud to be one of the first people to tell the truth and I’m proud with what my life’s been like.”
Closing the door on his sports career opened another as a mentor.
“I’ve been an ambassador for baseball – I love the game and I’ve tried to be a great role model to young athletes who are still in the closet,” he says.
He remembers meeting the mother of Matthew Shepard, a Wyoming college student who had been beaten to death in a 1998 hate crime.
“She said, ‘This [mentoring] is what you’re supposed to be doing. You’re going to change the world,’ ” recalls Bean, who now works as a realtor in Southern California. “I thought, ‘Maybe I haven’t thrown it all away.’ ”
For more on Billy Bean and the exclusive portfolio of gay professional athletes, pick up this week’s issue of PEOPLE, on newsstands now, and return to PEOPLE.com for more stories about coming out in sports