Can you lock the door? I think this is typical, but kind of frustrating. I think you if you want the same kind of privacy that he wants, you need to keep restating the boundary. Every time he comes in, remind him that he didn't knock or he didn't get permission and tell him to leave, and I may just keep restating the limit over and over. I do this sometimes with my kids who are 11 and almost 7 and usually I get the, "I was just...wait, I just have to, I'm going, I said I'm going, I just need to...I'm GOING, FINE!!!!" then a loud door slam and maybe some other things said. Today I was taking a little nap in my room, after throwing my kids out, and I locked the door. I woke up to banging and a "You suck!" The 6 year old, of course.
Anyway, I think sometimes we just have different boundaries. I'm not as protective of some of my privacy as they are, and so I think it's about getting him to understand your own limits and what is acceptable to you, and maybe there are times when you are OK with him around. Like the shower, my 6 year old will sit on the toilet and read to me, and I'll let them come in and talk to me in the bathroom even though they lock the door when they are in. It's not always going to be fair, and that works both ways because he may want and expect certain things that you won't be willing to give him. Like today my 6 year old was really ticked at me because I made her clean her fingernails and she was yelling at me that she doesn't tell me when to take a shower or clean my fingernails. And I was all, "Yeah, 'cause I'm the MOM!!!" Today was a bad day, btw.
It's really annoying when they come in while you are on the toilet, and then tell you you smell...but my kids are getting to the point where they really don't want to see me naked or spend too much time in the bathroom with me, although now the dog follows me everywhere.