If you're in an empty room, there's a chance someone could walk in. But, you can hear them in the kitchen, you hear their footsteps coming towards you, and that's your warning to stop.

With a camera, you're always being watched. It's not "there's a chance of being watched", you are being watched.

If you were out in public and you notice someone staring at you, wouldn't that make you feel uncomfortable? Why is he staring at me? You feel under scrutiny.

Maybe you don't feel unsettled but a lot of people do. There's not a whole lot to understand, it's just an emotion. Why are people afraid of cockroaches? Or why do we get nervous when making eye contact with someone?