Why is it that many anime and manga depict being a virgin male as something embarrassing? From the long list of manga I read and anime I watched, especially in romance genre, including romance comedy, harem, etc, being a virgin has been depicted as something bad, especially a male virgin. Many of them have the virgin guy pretending that he is not. When his close friend, who happens to know that he is a virgin, blurted about the fact, he was seen embarrassed as if being a virgin is something bad despite them being High School Students. Another even said that if you are a virgin until 30 then you will become a wizard (IIRC it was Haganai).

Why is it that anime and manga depict being a virgin as something embarrassing? Does this reflects the Japanese society, mainly the teens?
The media depicts being a virgin as embarrassing because it reflects how teenagers feel about being a virgin. As for why authors choose to reflect this particular part of society, that would be a bigger discussion. The short answer is to evoke empathy from their audience.

This is not exclusively a Japanese thing. A study cited in Psychology Today found: 


  One in three boys ages 15-17 say they feel pressure to have sex, often from male friends. Teen girls feel less pressure--only 23 percent said they felt such coercion. Researchers questioned 1,854 subjects between the ages of 13 and 24 in a national survey.


This is an American study, so it may be different in other countries, but probably not significantly so. This excludes regions where the religion/government censures sex.

Some reasons teens receive this peer pressure is the common belief that:


everyone their age does it


due to media
due to pressure from friends
due to pressure from partners

having sex is cool
having sex makes you popular
having sex proves "love"
having sex proves maturity
having sex proves you're not gay


Most people in the western world would proabably be very familiar being pressured with these reasons.