"ANY command denied to user" while creating a view

[Dmitry Shurupov]

set @st = 'CREATE OR REPLACE VIEW users_view as SELECT * FROM users';
PREPARE stmt FROM @st;
EXECUTE stmt;
ERROR 1142 (42000) at line 1: ANY command denied to user 'MY_USER'@'%' for table '/tmp/#sql_446b_0'

My grants are:
GRANT ALL PRIVILEGES ON `MY_DB`.* TO 'MY_USER'@'%'

Everything works fine ONLY after doing:
GRANT SELECT ON *.* TO 'MY_USER'@'%';

It looks like MySQL creates a temporary table for a view (with different privileges for current user) and tries to SELECT from it. Why? Is it bug or feature?