Jetpack is a heavily used plugin that connects to a service that has over 5+ million active installs. If you are using Jetpack on your site then you should be aware of what information on your site it is sending out.
Jetpack connects to WordPress.com in order to be able to provide a number of the modules for its features to function. You should be aware that the plugins, must-use plugins, the uploads directory size, and themes that are being used on the site are being sent over as a daily stats sync to WordPress.com.
The Jetpack heartbeat will send a daily bunch of stats from the site to WordPress.com the data is used by Automattic and is not visible to site owners. Jetpack does explain what information on your site is being sent over to WordPress.com.
Another reason why you might be using Jetpack on your site is if you are using WooCommerce Shipping & Tax (formerly called WooCommerce Services) plugin which uses the Jetpack connection. If you are using Jetpack with WooCommerce then certain information is also being sent out related to it.