Because you have to physically go somewhere to spend cash, your movements could be monitored. I guess it's a valid point in some places, where CCTV can be quite pervasive.
As 20kevin20 points out, probably far more likely is your phone, tablet, smart watch, fitness trackers, or some other device tracking your location (which they are all doing all the time) than a CCTV camera, especially since the later can be beaten by a scarf or (especially in the current climate) a face mask.
I'd be way more afraid of an Alexa or a Google Assistant than I'd be of a surveillance camera tbh
Completely agree. If you want to go full privacy, you can buy small adhesive physical shutters to put over the cameras in your devices, and you can physically remove the microphones so the only way for the phone to record sound is by you manually plugging in a headset or headphones with a built in microphone.
Still, the fact remains that all I have to do is simply leave these devices behind and any cash transaction I make can be anonymous. It is much harder to be truly anonymous while using bitcoin.