The idea is that they aren't

The idea is that they aren't supposed to realize by some deep sense of foreboding that anything out of the ordinary is happening at all.  They are supposed to think that your thoughts are actually their own.  And to expand upon what Trick said, keep in mind how few people have the level of self awareness to distinguish between their own voice and another person's.  In a way, most people are a slave to their own thoughts and emotions and demonstrate little to no control over them.