Ultimately I think it's a rational fear of being ostracized (or worse) for having believed or done something deemed by the group to be "not OK". The right to privacy shoes us to explore the nature of ourselves without harming others and without putting us in danger of violating social norms.
The counter argument might be that with more visibility and openness, the more tolerant we all might be if each others faults, but unfortunately history does not seem to demonstrate this.