My standard response to "I have nothing to hide" is "then why are you wearing clothes?". It seems to work relatively well to put things into the exact perspective you describe.
Ignoring the role social taboo plays in that interaction isn’t intellectually honest.
A comment I make to a friend sitting next to me would be inappropriate to make to the policeman in the corner, or to my boss. Inappropriate to the point of there being consequences.
I feel like the whole clothes thing was a horrible example.
If we only wore clothes for "warmth and protection" then why do we wear them indoors? The point is still valid.
You mean like hiding your bank balance because the social consequences of people seeing it? Or hiding your medical records because of the social consequences of people seeing it?