Why would you need to hide having participated in a protest? It is an act which is protected by the First Amendment in the US Constitution.
Which is just a piece of paper. It has absolutely no power to protect you. Only a government that respects it can do that, and it's a certainty that our government will, from time to time, completely disregard that document when it feels the need to.
People have good rational reasons for hiding all sorts of legal activities they participate in.
To put it another way: you can't rely on the Constitution to protect you during a protest against violations of the Constitution.
Or imagine a left wing authoritarian government targeting lockdown protestors.
We should all be concerned about wanton data collection.