Everyone does to some extent. Like most diagnoses of mental illness, it is a matter of degree. If it clearly interferes with their lives, it may be considered a problem. And then there was a fascinating study in the 60s that drew the conclusion that most paranoids have reason to be paranoid. However, it is a chicken-and-egg thing. Paranoid behavior may cause people to talk about the person who exhibits it.
The best way to approach it is “why do you think you are that important that all these people are thinking about you?”
In a most exaggerated example, someone who thinks the CIA is following them:
Itemize the man-hours of CIA employees of various pay grades who would have to work on tag-team surveillance, on foot and in cars, employees and equipment to set up bugs at workplace and home and s/o, employees and equipment to monitor electronic transmissions, employees to collate the data and ask, are you worth that kind of expense? Why?