It sends some though:

Phishing and Malware Protection works by checking the sites that you visit against lists of reported phishing, unwanted software and malware sites. These lists are automatically downloaded and updated every 30 minutes or so when the Phishing and Malware Protection features are enabled.

When you download an application file, Firefox checks the site hosting it against a list of sites known to contain "malware". If the site is found on that list, Firefox blocks the file immediately, otherwise it asks Google’s Safe Browsing service if the software is safe by sending it some of the download’s metadata.