This research details the development of the perception of being observed scale. Consumers may think that their actions are being observed (i.e., seen, watched, recorded, tracked) by other parties (i.e., companies, governments, people) regardless of the actual knowledge about the existence of it. We develop a 10‐item, uni‐dimensional perception of being observed scale. Following the assessments of the scale, we conduct a series of studies to test the scale's convergent, discriminant, nomological, and predictive validity. We show that technology anxiety, self‐consciousness and privacy concerns predict the perception of being observed. Further, people who experience the perception of being observed are more conservative in information disclosure.