There are concerns that your publicly posted information would scooped up by bots that scrap up public information on the web. Or more specifically, be used by Meta to build a profile on you, which it already does even if you don’t federate with Threads.
People who are concerned about this usually choose not to federate with Threads, but they also would need to block bots and Meta specifically to fully be protected.
Others don’t share their concerns as much, or are more selective about what they post publicly. Some platforms allow you to post privately, for example, and unless you are communicating with someone on Threads, Threads would never see it even if you were federated with Threads.
Does it even matter if they know? The private content is supposed to be invisible to them anyway. The fact that they don’t know it exists would make it more invisible.
Also, some platforms, like Mastodon, have actually adopted some privacy. For example, they added “followers only” posts that only their followers can see. If they are aware of Mastodon’s “followers only” posts, then they already understand the basic concept of limited distribution.