To understand why people engage in privacy protection behaviors on the Internet, multiple researchers tried to reveal the underlying factors of the phenomenon. The results were ambiguous. Identifying privacy concerns as a mediating construct, some researchers were able to establish its influence on protection behaviors, others were not. In addition, the structure of hypothesized factors affecting privacy concerns differed from work to work. This paper aims to shed light on the inconsistencies in the previous research. To achieve this, we perform an exploratory analysis of factors affecting privacy protection behavior on the Internet. We conduct a survey on a Russian sample (N=228) and perform the analysis using a technique of structural equation modeling. Our results suggest the following: (a) privacy protection behavior is a multidimensional construct, with each behavior type being affected by its own set of factors; (b) privacy concerns might have a dynamic structure, that is dependent on the context and the environment of the target population. Given these findings, we conclude that future research should consider a specific type of protection behavior together with characteristics of the target population and to refrain from generalization of the results from other domains or protection behavior types.