Oh my goodness.
Deidara: He would shyly apologize, but would stay and ask if he could help. Being walked in on, he would be flustered at first, then offer them to join him.
Sasori: He would apologize and walk out not saying another word. Being walked in on, he would cover himself up and quietly ask them to leave.
Itachi: He would immediately apologize and walk out, not mentioning about it later. Being walked in on, he would cover himself up and would later act awkward.
Kisame: He would freeze up, getting flustered. He would then apologize as he leaves quickly. Being walked in on, he would get very embarrassed and try to cover himself up. He wouldn’t talk for the rest of the day.
Hidan: He would mutter an apology, and slowly leave the room. Being walked in on, he would yell in surprise, then shyly ask his lover to help him.
Kakuzu: He would walk out without a word. Being walked in on, he would cover himself and grumpily tell his lover to get out.
Pein: He would leave without a word, and not say anything at all about it. Being walked in on, he would mostly likely command them to get out.
Konan: She would leave, then apologize later. Being walked in on, she would cover herself and may scream.
Tobi: His face would turn red from under his mask, and would hesitate to leave. Serious side would just apologize. Being walked in on, he would probably screech. Serious side would be surprised, but not say a word due to shock.
Zetsu: He would be really flustered and have no idea what to do. Being walked in on, he would slowly merge away into the floor, escaping embarrassment.