What is the best way to ask my family members to respect my space by knocking first without sounding guilty of wanting to hide something?
First of all, a necessary premise: everybody has something to hide, and that's OK. And this does not mean that the hidden thing has to be illegal or immoral: someone may want the freedom to put contraceptives or that one brand of cookies in a drawer without parents knowing, some other person may need some time alone to secretly write poetry or to read that one book they're publicly mocking (Twilight, 50 shades of X, you name it) etc. Having some space and time which is exclusively personal, as opposed to infancy times when everything is shared with parents, is an important step during growth and it is vital during adulthood. This is to say that guilt is not a necessary and automatic reaction from your side to people inferring that you have something to hide. Click for a bonus SMBC comic to illustrate the concept in politics!
As for "how to ask": if you are afraid that suddenly asking them to always knock may be weird, start by setting timeframes in which they have to. Find a way to signal that you want other people to knock in a certain moment (a "Do not disturb" sign or any other thing on the handle of the door, simply closing the door...). Then, comunicate to your family that you want them to knock when they see it.
Hey, you really make me jump when you come into my room without knocking / last time you didn't knock I had put my t-shirt on for two seconds / I was sleeping when you entered my room without knocking, and I want to avoid these circumstances in the future, so starting from now can you knock when you see X?
I take from your explanation that you may be an introvert. If they inquire on the reasons of this new boundary, you can explain that you need time alone to recharge, just like you did here. Chances are you took this feature from somebody in your family and your parents are already familiar with this behaviour.
The next week/s or so of implementing this system, remind everyone that forgets to knock - insist, if you have to. Remind on the spot, do not let it go quietly. Depending on your personality and the circumstances, you can also ask the person to go back the door and knock -- my brother did it all the time and, as harsh as it sounds, it may be an effective way of dealing with the issue with those of your family more prone to overstep the new boundary (in our case, our mom).
Also, warn beforehand that you're going to put the sign on:
I'm going to my room for a while, if you need something just knock, ok? I'll put the sign on to remind you to do it.
Rinse and repeat. And repeat. And repeat. It's a new boundary, it takes time to be accepted and embraced by everyone in the family - it really depends on what are your customs as a family and what is the personality of everyone. Just be confident that this is your right.