It's interesting to see the cultural variation in attitudes about living with one's parents, in addition of course to the variation caused by everyone's individual circumstances.
I am glad to be living on my own, but I miss the following things the most (not in any kind of sorted order):
Company (my dad and I got along very well)
Living in a nice house vs. a rather shabby apartment
Having someone to help me cook
Having someone else to get groceries
If you don't want it known, don't say it on a phone.