Cloudflare mentions that they “never harvest data for ad retargeting” and Turnstile “never looks for cookies (like a login cookie), or uses cookies to collect or store information of any kind”.
Check out this article which explains more about how Turnstile has less data collection, more privacy, and same security.
View the Cloudflare GDPR compliance and Data Processing Addendum for more information how on they handle data.
The Simple Cloudflare Turnstile plugin itself is completely free with no paid version, and does not include any additional data tracking.