Every wallet does so, yes.
But if bitcoin is illegal in your country, you probably don't want to use a wallet which leaks any possible information about you.

The question is, how often do you plan on using BTC?
If it is just for storage and accumulation, then go with an encrypted paper wallet.

If you need to transact often, use a privacy-orientated wallet. Either something like samourai for android or wasabi for a desktop system.
Do not use windows. Do not go online with your wallet device.