This is all just my opinion and some perspective for you. Every marriage is different and you have to form your own value system in your marriage.
I'm curious, are you saying that you hide absolutely nothing from him? There's nothing you do or have that you'd prefer he not know about?
I am pretty open with him.
If not, that's pretty amazing. Sometimes I do little things like eat a chocolate bar without telling my husband (I'm not overweight, I just enjoy some private time with chocolate now and again, lol). I also don't tell him every time I masturbate or how I did it. I could tell him and have, so he knows, but I'm not doing anything "wrong". I just don't want to tell him every single thing.
From my perspective, what I really wonder is why your husband may not want to tell you about something that has to do with making him feel good sexually (keep in mind, we have no idea why he has it or what he does with it). You going to him with any amount of judgment around it will only reinforce his reasons for hiding it.
I suggest you do a lot of journaling about this to get in touch with how you feel about it. Keep asking yourself, "what's wrong with having a dildo hidden away?" then answer that and keep asking "what's wrong with?". You'll be amazed at what you learn about how you feel about it!
Listening to all of us here on TAM is great, but you can become a ping-pong ball because we all have different opinions.
If you do approach, which I think is wise, I'd do it with a kind and playful heart. You could just tell him how you found it, that you didn't mean to and you were conflicted between respecting his privacy and wanting to know more about it in case there is something you could explore together sexually. Be his friend not his mother.