In John 5, Jesus encountered a man who was unable to walk.  He told that man to take up his bed and walk.  In John 5:14, we read, "Afterward Jesus findeth him in the temple, and said unto him, Behold, thou art made whole: sin no more, lest a worse thing come unto thee."  Either Jesus gave this man a command that there was absolutely no hope of achieving, or Jesus expected this man to sin no more!  Later, in John 8:11, Jesus told a woman taken in adultery, "Neither do I condemn thee: go, and sin no more."  Again, either Jesus expected this woman to choose not to sin or He gave her a command which she could never achieve.   Jesus knows our very frame, He created us, He knows how we are tempted and He knows what temptations we can bear.  Moreover, the Lord has promised that we will not be tempted above our ability to overcome the temptation.

1 Cor 10:13 There hath no temptation taken you but such as is common to man: but God is faithful, who will not suffer you to be tempted above that ye are able; but will with the temptation also make a way to escape, that ye may be able to bear it.

Now, should we 'confess' our sins to God?  As a part of any 'confession' of sin, we must also repent.  Literally, repent means to turn about, or to go in the opposite direction.  Once we are saved, confession of sins does not have any bearing on our salvation, but it can affect our relationship with God and our ability to pray.  If we have un-confessed sins in our life, the Lord is less pleased with us and our prayers will be hindered.  In fact, as un-confessed sin continues, it will breed rebellion in your life; you will find yourself growing more and more distant from God. 

Finally, if someone who is saved dies with some un-confessed sin, does that mean they are no longer saved?  Absolutely not!

John 6:47  Verily, verily, I say unto you, He that believeth on me hath everlasting life.

John 10:27-30 My sheep hear my voice, and I know them, and they follow me: (28) And I give unto them eternal life; and they shall never perish, neither shall any man pluck them out of my hand. (29) My Father, which gave them me, is greater than all; and no man is able to pluck them out of my Father's hand. (30) I and my Father are one.

Though you would still be saved, I would not want to stand before the Lord with un-confessed sin in my life!

Let me add: Why should we even consider living in some kind of sin?  God has so much better for us if we would only allow Him to work in our lives, but we hinder His work by our sin.

Rom 6:1-7  What shall we say then? Shall we continue in sin, that grace may abound? (2) God forbid. How shall we, that are dead to sin, live any longer therein? (3) Know ye not, that so many of us as were baptized into Jesus Christ were baptized into his death? (4) Therefore we are buried with him by baptism into death: that like as Christ was raised up from the dead by the glory of the Father, even so we also should walk in newness of life. (5) For if we have been planted together in the likeness of his death, we shall be also in the likeness of his resurrection: (6) Knowing this, that our old man is crucified with him, that the body of sin might be destroyed, that henceforth we should not serve sin. (7) For he that is dead is freed from sin.