African Greys, while usually quiet when compared to some other species, can sound as obnoxious as any when they shriek and scream. Let's take a look at why a bird screams. This couldn't be further from the truth. Parrots are PREY animals. Prey animals often find protection from predators within their own herds, bands or flocks.
Parrots are also WILD animals.
Although your Grey may have been domestically bred and hand fed by a human, it retains many instinctive behaviors. This is often referred to as genetic hard wiring by behaviorists. In the wild, parrots are, by nature, programmed genetically to respond as prey animals to danger. Then parent training adds to this so-called hard wiring by teaching or reinforcing for the bird what is and what isn't a predator, as well as how to respond to a predator's threat. Prey animals need to stay within the confines of their own groups, because their groups provide protection, if any through sheer numbers.