Make sure you tell her there isn't anything wrong with it though, just that it's meant to only be done in her bedroom. So every time you see her do it tell her she has to go somewhere private if she wants to do it.
This is what I did also. When DD1 was little she would do it a lot but she would twist her legs around each other and tense them up and down to do it. I just always said that it's ok if she wants to do it but she has to go into her room because it's private - to start with she would always go to her room but after a little while she would choose to stay where we were and stop doing it. She used it mostly as a relaxing thing and before she went to sleep too.