Many aspects of the self fulfilling delusion of that statement "I have nothing to hide" also appear due to many aspects of privacy invasions (microaggressions) being tied to faceless entities. You can more easily write off a threat that isn't apparent, as if the tiger in the bushes is a fiction.

When I hear that statement, I ask for the person to unlock their phone and open their photo gallery for me. When faced with a direct threat of someone knowing their inner life, they tend to decline.