Whether or not secret (end-to-end encrypted) chats are implemented is up to the client's author.
Not having secret chats in Telegram Desktop was a decision of the author - https://github.com/telegramdesktop/tdesktop/issues/5
They work in cutegram (qt based client. OS X, Linux, Windows, OpenBSD, Arch AUR, etc) - http://aseman.co/en/products/cutegram/
They work in the pidgin plugin (which works on all of the platforms supported by Pidgin) - https://github.com/majn/telegram-purple#readme
They also work in telegram CLI (which many bots are based on) - https://github.com/vysheng/tg
