The Open Rights Group regularly do briefings on things like this and one of the "Responses you might get and how to counter them" arguments is:
"If you have nothing to hide, you have nothing to fear
That isn’t true. Surveillance has been used against journalists, whistleblowers and human rights activists. Most of us want to keep parts of our lives private." [0]
I've had people use the naïve "nothing to fear" argument before. Tell them that even if they wrongly believe that they don't require privacy, people working in their interest do.
[0] https://www.openrightsgroup.org/assets/files/campaign_resour...