The Find My Network is, basically, every Apple device out in the world. Using bluetooth in this fashion, all the other devices participating in the network and in the area of the phone (or AirTags, they work similarly) will receive the bluetooth broadcast. They'll then communicate that to Apple's system. So when you go to find your device, its most recent known location can be provided to you. They've got some cryptographic mechanisms in place (I haven't researched them) that ensure that the systems receiving the broadcast don't know anything other than that it is an "I'm an Apple Device and here's some cryptographic data" message.