That's a great question, Bob, and a very popular one, in fact. Many smart thermostat users are hesitant because they are unsure of their privacy, and I don't blame them. I wouldn't want to unkowingly install a tracking device in my own home.
In my opinion, we can never be 100% sure that these companies will keep our information completely confidential...and safe. Although most companies pledge to take the highest security measures when handeling your information, there is always the possibility of being hacked.
I found Nest's privacy statement. Feel free to peruse at your leisure.