What would be the ideal response to such an absurd comment? At the time I found it hard to answer because she surprised me with that opinion.
Edit to note: the explanation should be compatible with a professional context. I don't want to scare my co workers or appear crazy/paranoid.
A different argument that appeals to some is that you might not have something to hide, but what about the people who do? For the greater good of society, whistleblowers are needed to expose malfeasance by the corrupt and it's going to make it much harder for any of them to come forwards if their reward is literally exile to Russia. If you're in support of a slow slide into dystopia, go ahead and argue against all privacy. Whether a given situation rises to that level is an different but adjacent topic, but appealing to something some people can believe in, such as not letting the rich and powerful get away with being utterly corrupt in their dealings is a way to find common ground, with some. not everyone cares about that though, but it's an additional argument for privacy.