Most of us use the model through some app. We either use a mobile app or we visit a website like deepseek.com to use the model. This app acts as a wrapper around the AI model. Whatever information we wish to give to the model goes to this app first. This app can then store this information anywhere.
DeepSeek's own App is run from china so if you are using their mobile or web app, all the data you give it does to China and is stored in Chinese data centers and is accessible to Chinese government.
However, if you wish to not deal with Chinese data centers you can use the DeepSeek model from American companies such as Perplexity AI. Perplexity uses the same model as DeepSeek R1 but it is hosted in USA and hence the data remains in USA. Perplexity has also removed the censorship that Chinese communist party has enforced on DeepSeek.
So long story short, the best way to keep your data safe is to run the model locally on your own machine. But if you can not do that you can chose to use the model with other companies including Perplexity.