1 Peter 4:15-16

15 Make sure that none of you suffers as a murderer, or thief, or evildoer, or a troublesome meddler; 16 but if anyone suffers as a Christian, he is not to be ashamed, but is to glorify God in this name.

Peter mentions previously suffering for sins (2:20 and 3:17); and for that we should feel ashamed. But if we suffer as a Christian (by persecution) we should never feel ashamed; rather, we should rejoice, and praise God because of the privilege of suffering with Christ. Also, as Jesus said (in Matthew 5:11-12), we should be glad for the reward we will receive in heaven.