Privacy is basically having your own space to yourself and doing what you love without discrimination or worry of what people might say or think of you.
In terms of private space, you are absolutely correct: staying in your own comfort zone, minding your business, and being yourself without sharing your space and belongings with others, but in terms of crypto, that privacy is just owning your crypto under your own control without sharing any details about it, which can link to your private life—that's privacy in my own definition—and also having control over that coin without any central authority controlling and freezing it due to whatever they consider as breaking the law.