I'm not sure which of medical or financial data is considered more sensitive legally, but I think the phrase is mostly about medical data being so inherently personal. It's just meant to invoke an emotional reaction or connection.
Medical data discloses your sex, drinking, smoking, drug, and physical habits, along with any mental issues, genetic pre-dispositions, where you live, who your family are, where you have worked, etc. With only a little inference you can get financial information from a person's medical records.
TLDR;
• Financial records are designed to track accurate exchanges of money.
• Medical records are designed to keep an accurate representation of you. The goal is explicitly more personal.