That's the same reason why you wouldn't want to ask an alcoholic to guard a warehouse full of vodka at night, as you'd probably find a few empty bottles the next day. Same thing with an advertising company, even if they claim to respect your privacy, nothing guarantees they're not secretly looking at it anyway (and using it to adjust their ad tracking in a way that's undetectable from the outside, as to not be sued for it). It's even worse, because at least with alcohol you can count the bottles and find the empty ones. With data collection, if they're careful, you have no way to know whether your privacy has been violated.