Apparently human staff at Amazon Alexa listen to what people say, even very intimate things (https://www.bloomberg.com/news/articles/2019-04-10/is-anyone-listening-to-you-on-alexa-a-global-team-reviews-audio).
Alexa uploads your speech to be analysed on Amazon's servers. Siri, Cortana, Bixby etc also do this.
A better alternative is Snips, which doesn't upload your voice anywhere:
You install it on a Raspberry Pi, and access it directly or from your other devices.
(n.b. It's still in beta and requires tech knowledge to set up)