No one really knows exactly why this happens when you run a shower.

Though there are a few theories knocking around no one has the exact answer (yet).

Anyway to stop this you can buy shower curtains with magnets sewn into the hem of the curtain (or add your own).

The magnets stick to the sides of the bath tub and stop the curtain being drawn in towards you.

Or use a double curtain - one inside the bath and one outside to reduce the air flow and avoid the curtain being sucked inwards.