The virtual dimension called `Cyberspace' built on internet technologies has served people's daily lives for decades. Now it offers advanced services and connected experiences with the developing pervasive computing technologies that digitise, collect, and analyse users' activity data. This changes how user information gets collected and impacts user privacy at traditional cyberspace gateways, including the devices carried by users for daily use. This work investigates the impacts and surveys privacy concerns caused by this data collection, namely identity tracking from browsing activities, user input data disclosure, data accessibility in mobile devices, security of delicate data transmission, privacy in participating sensing, and identity privacy in opportunistic networks. Each of the surveyed privacy concerns is discussed in a well-defined scope according to the impacts mentioned above. Existing countermeasures are also surveyed and discussed, which identifies corresponding research gaps. To complete the perspectives, three complex open problems, namely trajectory privacy, privacy in smart metering, and involuntary privacy leakage with ambient intelligence, are briefly discussed for future research directions before a succinct conclusion to our survey at the end.