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ummm well…. Here is a view, others will have a different view.
When you buy bitcoin, you are buying a particular bitcoin (or part of a particular one). A bit like bank notes have serial numbers on them, each piece can be easily traced and can see who has owned it in the past. So some coins can be tainted, they might have been used for criminal transactions. This then associates you with that.
Bitcoin is completely transparent, so once an exchange/government have you and an address associated (KYC), all transactions can be traced and the amount you hold is known. Your transactions are all known.
For me this (and the transaction fees) are a major issue for me. Other chains, like monero, have privacy built in. 1 coin is equal to the next and no one can see transaction amounts and what you hold etc.