The increasing processing of the consumers' personal data in order to be later employed in a direct, personalized and interactive marketing approaches has intensified the discussion on how to address the consumer's private space without affecting his or her privacy. The paper proposes a new concept - the privacy literacy, meant to explain the consumers' attitude toward the processing of their personal data and to differentiate the direct marketing campaigns in terms of their success. An index of privacy literacy is determined based on the results of a survey conducted at the level of sample of Romanian consumers.