This is well into literal tin foil hattery, but:
You'd have to check what kind of frequency range it actually protects against, and you'd need a way to test it (no doubt there is some fake emf paint around as well).
You could also wrap your walls in chicken wire and get a pretty decent Faraday cage effect for cheapish.
It'll also break your wifi and phone (if it works).
Unless you are running a spy agency, this is just a waste of effort IMO.