same as would you mind explaining why instead of just walking down the road, you are instead looking around seeing who might be looking at you.

its not a "crime" but the very act of doing things criminals also does, makes you glag up as suspicious

again these flags are not to say your guilty, but just to flag a suspicion flag that you are using the tools of the trade a criminal uses

EG buying a large butchers knife. some people flag that as suspicious in a knife crime region

EG in america. some say that owning a gun is a "human right" and part of constitution. but in some places in america buying a gun in a region where there are no rifle ranges, hunting lodges and no gun sports for 100 miles. can be seen as suspicious

so by trying to hide "for privacy" actually becomes a question of "what are you trying to hide"
this is not about you being a terrorist. its not a ATL (anti-terror-law) policy its a AML anti-money-laundering policy
no one would be outright upfront calling you a criminal, instead they are interested in flagging anyone using tools that can cause suspicion of possible criminal sourced funds..

oh and one other thing.
mixers dont mix your privacy coins with some fresh mint clean coin..
most of the time legit people dont care about mixing so the majority of coins in a mixer are going to be privacy nuts and criminals. so in many cases you hand over your legit coin but just want privacy. and you end up with sone other criminals coins.

in the end no matter what your story is or your reasons.. your still going to get flagged and investigated, even if the mixed coins were from another legit but 'privacy nut' guy