Anything sent into the air can be intercepted! However, it is unlikely that your next door neighbor would have the equipment nor the knowledge needed to watch your camera without the exact same receiver. Now, if you are worried about Big Brother, I am sure the government would be able to watch with little trouble.
There is always that possibility. However this device receives a 2.4 GHtz signal, the same that you would find on today's home telephones. The older systems of cross channeling could be a possibility if they had a baby monitor that could have the same setup or receive the same signal. But to put your mind at ease, the chances are unlikely.