They care about visible, or tangible privacy. It's hard for some to grasp internet privacy and why it matters if "you're not doing anything wrong."
But barge into their house at 4am, or open the door while they're in the bathroom, or listen at the door while they're having sex, and you'll get a whole different response.
Ask them about their finances and most people won't talk about it, but they don't realize that facebook and google know all about it.