ChatGTP is a framework hosted on OpenAI's servers, it doesn't "collect" your data itself, instead companies pay OpenAI to make use of it to basically come up with clever ways to sort data and find patterns and results. Those companies are the ones who save your data and feed it through algorithms to look for whatever result they've trained their slice of the AI to look for. This is the way that most Large Language Models work right now, there's only a handful of actual LLM's that are owned by larger companies and rented out to developers.