Viewing it from that perspective can somehow be right. Yes, after you buy Bitcoin through exchanges which requires kyc your identity is actually tied to the ownership of that coin. But after you have used that coin or transferred it to another users, you are actually signing full ownership to a new recipient wallet.

 You don't have any  reason to worry how the new owner uses it. If he carries out illegal activities, sure it would only be seen on the Blockchain that you were the previous owner of that coin. But I don't think you would be penalized for that.