What do you think Marshall means in chapter 11 when he says, “somebody already heard us”?

Marshall knows that the children are being watched as they play the Egypt Game. The children are so engrossed by the imaginative game they've constructed that they're often unaware of what's going on around them. But Marshall is a lot less engaged in the game, and thus more observant of his immediate surroundings. He knows that the Professor has been watching the children from the window as they play their game in his storage yard.
As part of the game, April comes up with the bright idea of "sacrificing" Marshall's comfort toy. As one can imagine, Marshall' is not very happy at her suggestion. In fact, he's so mad that he screams. The girls try to get him to be quiet, and that's when Marshall tells them that somebody's already heard them, though he doesn't care to elaborate on what he means by that.