When people say this they're completely missing the point. First, when someone says "I have nothing to hide", they are assuming that whoever is watching or monitoring or surveiling them share the same values they do. You decide to do something and you don't care who knows it because you think "there's nothing wrong with this". What if who is watching you decides "there is something wrong with that? The second point is that, even if you have just the slightest inkling that someone might know what you're thinking or doing, you think and act differently. It's psychology.