Some amount of user's data is collected. Specifically, this is the ID of your Discord user account, which is linked to a handful of things depending on how you interact with the bot.
Discord IDs can be stored so that the bot can take a appropriate actions for specific users and respect settings that have been set. Such as: any user or server setting that you configure through the bot, moderation actions against your Discord account if enabled in a server where the bot is in, or any interaction with the bot that requires storing your Discord user ID.
The command -mydata forgetme provides a way to remove large portions of your own data from the bot. This command will not remove operational data, such as a record that your Discord account was the target of a moderation action.