What times your lights are on or off can expose more than you might think over time. It reveals when you're gone for work, your sleep schedule, how many days a year you spend at home vs traveling/elsewhere, when you stay up late, etc.
But it gets worse. If you give Hue your email or install the app then now you can be uniquely id'd across other products. Hue will sell that data to some advertising agency, who also buys data from Google, Facebook, etc. Now your usage data from other systems can be combined with the Hue data and used to more even more accurately track your day and behaviors.
In addition to what the other commenters have said: They don't just sell light bulbs but also motion sensors that can even measure temperature.
So they wouldn't just be able to tell which room you're in at any given time but may also be able to tell when and for how long you shower or how often you cook food in the kitchen based on slight temperature changes.
And if you wanna get really paranoid: Hue Sync analyzes what's on your screen and synchronizes lights accordingly. Who knows what is really going on there if they pull this kinda shit lol
It’s also not about what data they hold, but what data they have access to.
To you, it’s a light bulb, but internally, it’s a network-connected microcontroller, meaning it’s also connected to everything else in your network.
It theoretically could scan and exploit any number of security holes in other devices, including but not limited to phones and desktops.
Even if the manufacturer is ethical with it, other nefarious actors can use it as an attack point to try to gain deeper access. Some of these devices run a full Linux install internally, and if you know how, you can even get a shell session open on them.