If they can’t for that reason alone, then the model is a mechanical copy of the training set, which may be subject to a (compilation) copyright, and a mechanical copy of a copyright-protected work is still subject to the copyright of the thing of which it is a copy.
OTOH, the choices made beyond the training set and algorithm in any particular training may be sufficient creative input to make it a distinct work with its own copyright, or there may be some other basis for them not being copyright protected. But the mechanical process one alone just moves the point of copyright on the outcome, it doesn’t eliminate it.