Yes when we use block explorer repeated searches we make from same computer can be used to link different cryptocurrency addresses to us which is major privacy risk. To avoid this is best to use block explorers that care about your privacy. Look for services that are open source so people can check their code or ones you can run yourself on your own computer. Also choose explorers with clear privacy policies that promise not to track or sell your data and use them with Tor or VPN to hide your online activity. Good examples of these are open source explorers like Esplora and Mempool.space. We should keep in mind that even with these services using VPN or Tor is most important step to protect our privacy.