Cortana in Windows 10 is a great digital Assistant but, like the other assistants, it keeps data about you. Here’s how to download a copy so you can review it. While tech services and digital assistants make our lives easier, the company that provides the service collects a lot of data about you. For example, everything you say to Cortana or Alexa is recorded and stored on the company servers. Everything you do on Facebook and Google is recorded. The idea is that by collecting your data, the service will improve and provide better results and to anticipate your needs.
Source