"It gets on my nerves that I just can't go out," Rose said in an interview for the May issue of GQ magazine, published online Tuesday.
The reigning NBA MVP said part of the problem is the city he is playing in.
"Chicago isn't used to stardom," Rose said. "Back when Michael [Jordan] was here, everyone was used to actors and singers and people being at the games. But there's been a drought since then, and even celebrities, they'll stop here to film a movie and then pop right back out. They don't know how to act toward celebrity."
Rose has been the toast of the town from his first season, which saw him crowned Rookie of the Year as he led the team into the postseason.
He has never failed to take the Bulls to the playoffs and will get another shot at ending the now 14-year wait for the NBA Championship this season, as long as he can shake off his recent injury struggles.
While driven by the desire to clinch his first title, the 23-year-old said any successes he has had on the court have only made his life off it harder.
"It seems like the better I play, the more attention I get," Rose said. "And I can't get away from it. You play great, you get attention. But I hate attention. It is weird. I'm in a bind. The more you win, the more they come."
He continued, "It's just boundaries now. People are like, 'You can't go here, you can't go there, you got to let that person know where you're going.' It's just weird. I'm never alone. Ever."
Rose added, "So I always have someone with me. I can have a hat on, glasses on, whatever. People still notice me. If I go outside without a hat on, I feel like I'm naked . . . This life doesn't fit my personality."
The GQ interview saw Rose become only the second Bulls player to grace the magazine's cover, after Jordan.
Rose said he was does not shy away from comparisons between the two of them.
"I've run into [Jordan] a couple of times, but we don't have a relationship," he said. "His titles drive me. I'm not scared of him; if anything, it makes me work harder when I do train."