Is confess the right word for this context? Would admit be a better choice? Can you provide me with other options?
I must confess I'm very keen on sports.
An 'admission', or to admit something, is to reveal anything that you had not previously been open about.
A 'confession', or to confess something, is usually the admission of something bad, such as a transgression or a misdemeanour. So, a confession is a type of admission, but mainly about something bad.
You'll find both "I must admit..." and "I must confess..." are used in very lighthearted contexts, not about bad things at all. Sometimes it is just in jest, but sometimes it might be to imply a "guilty pleasure". Again, this term is used very lightheartedly and doesn't usually refer to real guilt. Most people would consider a guilty pleasure to be something they maybe were more fanatical about than they would like to admit, spend too much time on, or perhaps something considered 'lowbrow' that they enjoy nonetheless.
So, consider the context of your phrase - why is the person admitting to liking sports? Most people do. Are they talking to someone who does not like them? Either choice could be idiomatic, one is just slightly stronger than the other.