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The immersive nature of Virtual Reality (VR) and its reliance on sensory devices like head-mounted displays introduce privacy risks to users. While earlier research has explored users' privacy concerns within VR environments, less is known about users' comprehension of VR data practices and protective behaviors; the expanding VR market and technological progress also necessitate a fresh evaluation. We conducted semi-structured interviews with 20 VR users, showing their diverse perceptions regarding the types of data collected and their intended purposes. We observed privacy concerns in three dimensions: institutional, social, and device-specific. Our participants sought to protect their privacy through considerations when selecting the device, scrutinizing VR apps, and selective engagement in different VR interactions. We contrast our findings with observations from other technologies and ecosystems, shedding light on how VR has altered the privacy landscape for end-users. We further offer recommendations to alleviate users' privacy concerns, rectify misunderstandings, and encourage the adoption of privacy-conscious behaviors.