You may be naked under the sheet, but you will always be draped with the sheet to cover your private areas. I will be out of the room, with the door closed while you change. You will not be vulnerable in the sense that you might be taken advantage of. This sense of vulnerability is that undressing is like shedding your attachments. The purpose of the massage is to release the attachments that cause tension.
Sexual attraction is one of the attachments that causes tension.
It would be unhealthy for you to indulge sexual attraction with a therapist, as well as it would be unhealthy for me. Often during massage, an intimate connection is made, which is not sexual. The connection brings feelings of pleasure, connectedness, presence, and compassion. For people who do not often feel intimately connected with others, this feeling can easily be misinterpreted as a sexual attraction. It is good to express this feeling, so that it can be understood for what it is, and is not.