Twitter replies are public
If user timeline is public and he replies to a tweet from a protected timeline, the reply to the protected tweet is public. Often it creates enough public context to guess what another invisible tweet was about. The bad thing is that public user is not necessarily conscious that he is replying to a protected tweet and probably leaking someone else's private info.
Twitter Help doesn''t tell you that this information leak is possible.
In other words, don't trust your secrets to Twitter “protected” timeline.