Because the place where data is collected and stored may have different rules around privacy and data protection then the place it is exfiltrated to.
If I give my data to a company in one place that has strict laws on what may be done with that information, I don’t want it escaping to a low-protection jurisdiction where there are no penalties for selling it to the highest bidder for god knows what purpose.
If there was an acceptable worldwide convention on personal data privacy that would solve the problem. Until there is, it matters a lot.