I think this is something that's said, along with "are you clean?" quite a lot of the time naiively and innocently. That said when someone mentions discretion they can often be incredibly indiscrete themselves, come bumbling along shouting into their phone "What number is it again, I'm walking past number 6, number 7". The bloke is only thinking about finding and getting to your place, it is annoying but I learned long ago there's nothing much you can do - in fact kicking off about it only prolongs the 'exposure'.
I sometimes bat this type of comment back with a "No there's a neon sign with Ruth's knocking shop outside", same with are you easy to find?"No you'll never find me, I purposely don't want my clients finding me" - usually I say that after explaining I give good directions, it really won't be a problem I want clients to get to me!
So these are genuine concerns for newbie clients, however they are also lines used by TWs and those who just aren't relaxed enough to actually go ahead with the booking. I just grit my teeth, smile and try and understand.
One guy had it in his head that there's be men popping in and out on the hour, 8 hours a day, 7 days a week. He also asked me about STIs and legality of the whole business. Prior to that he'd only really had the images the media feed, which we know are mostly at best only loosely based on reality, most of the time not representative of the activity/occupation/whatever as a whole.