Some services don't own any of their own data, so for them the question wouldn't arise. You could split them out without migrating data, and you could fold them in without it as well.

Otherwise, yes, moving a service out of a monolith without moving its data leaves you in a pretty tricky and problematic place, though the reverse is much less true: a single service having multiple data layers for different things isn't really a big operational or organizational problem.