New communication media such as social networking sites (SNSs) and instant messengers (IMs) challenge users’ privacy perceptions. Technical infrastructures and the flow of digital information lead to novel privacy risks that individuals are often not acquainted with. Users’ subjective perceptions of privacy may thus be flawed and lead to irrational behavior. In this work, we investigated a concept that has been addressed only implicitly in academic research on privacy: the user’s subjective perception of a given level of privacy. We examined the literature on how privacy perceptions have been conceptualized in traditional theories of privacy and how these conceptualizations are challenged in social media communication. We first qualitatively explored laypeople’s privacy concepts and investigated their subjective perceptions of privacy levels and subsequent private disclosures in different mediated and nonmediated communication settings. Interviews with N = 33 Germans revealed that, similar to academic privacy theories, they tend to conceptualize privacy as control over social, physical, and psychological boundaries. However, trust and other-dependent privacy emerged as important novel aspects for understanding privacy regulation in online communication. We further found that individuals consistently perceived a high level of privacy in face-to-face situations and a low level of privacy in public communication on SNSs. With regard to IMs, however, their answers were mixed: Uncertainty regarding digital communication properties and audiences as well as limited control over the communication setting prevented a reliable and shared perception of the privacy level. With regard to privacy behavior and private disclosures, we found that people tend to adapt their sharing of private information to the perceived level of privacy.