Device session identifier, IP address, clicks, actions, language and region for your operating system, transactions, etc.
It's really funny and even ridiculous: they are lying even about not collecting the information about bitcoin addresses user generates with their Ledger Live application:
Posted by
u/Crypto_Economist42
1 year ago
Does Ledger collect addresses from Ledger Live and associate them with any personal information collected?
btchip
1 yr. ago
Ledger Co-Founder
No. You can check that in the privacy policy you agreed to when using the product.
Their Privacy Policy clearly states that they collect user's information about "currency, time stamp, amount and status of transactions, transaction identifier, identifier used by our partners to identify you."

It seems that Ledger's "right hand" (support department) doesn't know what his "left hand" (programming department) is doing. Constantly confused in their evidence. This immediately causes distrust and doubts about the reliability of this company.