And especially: when law enforcement becomes evil or goes rogue. For example, in 1936 in the Netherlands a census had established a list of all people - including their religious affiliation. When the Nazis marched in a couple years later, they had a perfectly validated source of Jews to deport (per https://de.wikipedia.org/wiki/Judenkartei#Niederlande).
While I do not believe that data about religion will be used as a round-them-up-and-kill-them list ever again, there are other things which we allow various forms of law enforcements or secret services to access or to do which may be OK under our current governments but may very well be used against us in the future. There's a reason why undocumented people have been afraid to register or interact with the government - what Trump and his cronies did basically confirmed all their decade-long suspicions.