[NSFW] What is the appropriate social response to catching someone [XXXXXXXXX]ing?

Forbidden word cleansed from the topic under the imprimitur of Fluther’s Ministry of Truth: [XXXXXXXXX] = masturbat-

Recently I walked into my living room to find my roommate masturbating in front of his computer. Apparently he didn’t know or didn’t care that I was home. He quickly zipped up his pants and I just walked through and pretended I didn’t see anything.

It’s not the first time this has happened, either. In my lifetime, I’ve probably caught a half-dozen people masturbating (and not all of them men, either). Each time, I’ve had to figure out how I’m supposed to respond to this.

Once, for example, I was visiting a friend in a rooming house and leaned in his doorway to see a man I didn’t even know lying in his bed, jerking off with a porno in his hands. Why he was there, to this day I do not know. He looked up at me and made eye contact, slowed down the tempo of his fist-pumps for a bit, then went back to his magazine and continued. I wasn’t quite sure whether I should wait outside the room for him to finish, depart without asking where my friend was, or stand with my hands on my hips and demand to know “WTF?!” (I ended up doing the first. The dude left the room and wandered away when he was done without speaking a word to me.)

Is there some sort of unspoken social ritual around masturbation which I’ve missed? I’m asexual, which means I’m not always au fait with sexual standards and rituals. What is the appropriate reaction when walking in on someone engaging in self-pleasure?