When you run some sort of light wallet, it will be communicating with servers asking them about all the addresses from your wallet, so that you can get your transaction history and balance and be notified about new transactions. This makes it very easy to track you, and on top of that they can also record your IP address. Companies like Chainalysis run a lot of these spy servers to harvest data, so every time you launch a light client like Electrum you risk getting tracked by them.

That's why it's important to run your full node, maybe even over TOR, since you won't need any servers and it's impossible for peers to track you in a similar manner.