Well what happens when you transfer data from a us to your hard drive ? It's the same thing. What you asking doesn't really make any sense. Nothing wrong with copying data from one drive to another. I see people talking about programs that steal your info off your usb. Please don't listen to these people they have no clue what they saying. Things don't run on your own without you rinning or installing them yourself end of.
Also to people who are paranoid. Please don't use computers. If you that paranoid computers aren't for you.