Let’s take a simple example — any of the many voice response tools out there, from speakers to TV remotes to refrigerators to phone. Many people are unaware that to process speak most of these devices sends recordings/streams of people speaking to the company’s servers for processing (the chipset in most devices isn’t powerful enough to process things like freeform speech efficiently). The device opens a connection to the servers, sends information, then waits for a response telling it how to behave.
This means that all of your recordings, and anything you or others said in them, are now stored on a server and you no longer own them. Most of these devices claim that they sleep until their activation word is spoken, meaning that the only recordings are the ones that follow you explicitly initiating dialog.
It would be quite easy to couple the data in these recordings with your profile account information and other openly searchable data points (Facebook, LinkedIn, etc.) to put a pretty robust picture of you together. This could be used for anything from targeted marketing to targeted scams, if the data fell into the wrong hands.
This is just one of many examples of how our increasingly interconnected world opens avenues many people don’t realize exist. These technologies are not bad things. You should just make sure you understand what you are getting into and how you will use it before you go all in on the latest and greatest IoT device.