Only the data on what is being searched. Which is of course quite a lot. But it requires active effort to leak data that way. Many types of sensitive information is not natural to put there, say conversations with others or a diary. And other things can be actively avoided, like searching about illegal things. Which in some countries could be simple things like gay communities etc, unfortunately.
Do you use any search engine? Then yeah, your data is funnelled to google/microsoft.