The catchphrase doesn't mean you should be wary of free software, it means you should be wary of free services.

If a service costs you no money to use, and yet costs the operator money to provide, you should think carefully about how the operator is financing it - because it may be via capture and sale of your data, or other undesirable means.

Amazing and benevolent free software does exist (and lots of it!) but there's a reason FOSS and self-hosted are often said in the same breath. Giving away software for free costs nothing (aside from the generosity of the developer's time) but hosting software as a service costs money, and that's why if a service is free you should exercise suspicion.

Also - a shoutout to our Lemmy Admins as proof that this isn't always true, and for hosting the fediverse for free out of their own pockets, simply because it's a cause they believe in.