nostr:npub17aqgyjm4p8z9r42mpwkt45qln7sh4hr65z2gzwahgjtchr7vmsms8g3dh0 The big social platforms collect lots of data about their users, store it forever, and then use it to drive specific content and ads to them. Sometimes leaking that data, too.
In the Fediverse, the policies are generally set per instance, so it's hard to make blanket statements, but far less data is collected on users, and none of it shared with advertisers or others.
I don't think they are referring to the privacy of posts but other personal data.