to be honest I wasn't even aware secret rooms existed in till I saw this thread and I do tend to destroy those glowing blocks when I have the missile to do it I guess I must be unlucky.
Yeah, they exist. There's two types. Some extremely good items reside in these.... they're very worth seeking out.
The problem for the longest time though was that blasting walls was the ONLY way to find them. Even Chris said that he'd never once found one. And having secrets that you just cant find isnt any fun. Particularly since there's a bunch of items that ONLY appear in those rooms. So instead, the method of opening one by breaking health shard blocks was put in so that it's actually freaking possible.
There's a particular level-up perk that can reveal one of them to you on the map, so you can see just where it is (and it also opens that door for you, you dont have to break it open). Really one of the best perks in the game just because of the things you can get in there. Definitely grab it if you see it as a level-up choice.