Wearables capture physiological user data, enabling novel user interfaces that can identify users, adapt to the user state, and contribute to the quantified self. At the same time, little is known about users’ perception of this new technology. In this paper, we present findings from a user study (N = 36) in which participants used an electromyography (EMG) wearable and a visualization of data collected from EMG wearables. We found that participants are highly unaware of what EMG data can reveal about them. Allowing them to explore their physiological data makes them more reluctant to share this data. We conclude with deriving guidelines, to help designers of physiological data-based user interfaces to (a) protect users’ privacy, (b) better inform them, and (c) ultimately support the uptake of this technology.