privacy from what? you dont want to enclose that space, restrict airflow and light. Besides at that angle even looking up you wouldnt be able to see in. i'd be more worried about the neighbors looking in the huge window from across the street than I would about the lack of a door on the loft...

just had a thought you need to replace that fan with something more inviting to look down on ... even if its just a better looking fan!

Not sure what kind of privacy you want. Friends of ours did something like this just to keep the sound from travelling downstairs , I guess you could put curtains on if you needed real privacy.