Not every follower needs to see everything
For the casual, unfiltered moments you don't want your entire follower list to see, posting to Close Friends only lets you share them with the specific people you're actually close to.
The list is private -- even to the people on it
Nobody can see who else is on your Close Friends list, including the people you've added to it, so building the list honestly doesn't create any social awkwardness. You can also add or remove people at any time without anyone being notified of the change.
Frequently Asked Questions
Can the other person tell they're on my Close Friends list?
No -- only the person who created the list can see who's included in it; it isn't visible to anyone else, including the people added to it.
How do I remove someone from the list?
On the Close Friends screen, tap the name marked with a green star again, and that person is removed from the list immediately.