It’s an aggregate concern - Advertisers, bad actors, etc could easily use tools that are available now or will be soon to extract information that otherwise would be impossible for a human to wade through. I know that in one sense, everything is backed up by the NSA, etc, but that is not something I can do anything about.
The concern is actually greater in the fediverse, since a federated admin has access to even more information, and there is no absolute way to delete everything even with GDPR. I think that the risk is worth building a better internet. It’s also a part of why blocking Threads is important.