Privacy is a major obstacle preventing the growth of the Internet of Things (IoT). As more connected objects become integrated in daily lives, ensuring that people feel comfortable with IoT’s impact on their privacy becomes increasingly important. To date the understanding of users’ perception regarding privacy risks in the connected object space is limited. In this paper we aim to shed lights on this issue through a qualitative study of in-depth interview with 16 people. Our results show that users are primarily concerned with the “Data Ownership” (i.e., who owns the data), when interacting with connected objects. Our findings suggest the need for an intuitive tool that can minimise the cognitive distance between users’ mental model and the functionalities offered by connected objects. As a result we provide guidelines to design this kind of tool.