The research conducting the study of human mating habits found only one other animal that prefers to procreate in private, Arabian babblers (its a bird). Yitzchak Ben Mocha reviewed over 4,000 “cultural studies” and found the need for a little privacy was a universal trait across all the societies examined.
Ben Mocha’s conclusion about why has a distinctively dry academic reasoning. Here
You may read the study for yourself Here