Visual Privacy Attribute Classification (VPAC) identifies privacy information leakage via social media images. These images containing privacy attributes such as skin color, face or gender are classified into multiple privacy attribute categories in VPAC. With limited works in this task, current methods often extract features from images and simply classify the extracted feature into multiple privacy attribute classes. The dependencies between privacy attributes, e.g., skin color and face typically co-exist in the same image, are usually ignored in classification, which causes performance degradation in VPAC. In this paper, we propose a novel end-to-end Privacy Attributes-aware Message Passing Neural Network (PA-MPNN) to address VPAC. Privacy attributes are considered as nodes on a graph and an MPNN is introduced to model the privacy attribute dependencies. To generate representative features for privacy attribute nodes, a class-wise encoder-decoder is proposed to learn a latent space for each attribute. An attention mechanism with multiple correlation matrices is also introduced in MPNN to learn the privacy attributes graph automatically. Experimental results on the Privacy Attribute Dataset demonstrate that our framework achieves better performance than state-of-the-art methods on visual privacy attributes classification.