All you need to worry about is being put on a terrorist watch list and black listed from being able to fly anywhere in North America easily.
Either way, the correct answer to "I have nothing to hide" is: you are not in control, and do not get to decide whether you have something to hide or not. You have no power over that matter. Once you understand that to be a indisputable fact - no matter what country you're in (as a citizen is never the one making that call) - then you'll stop saying that phrase, as it is equivalent to saying: "I am in charge of the FBI"
A friend who worked for an analytics agency once told me that insurance companies are very interested in having access to the purchasing histories of their subscribers.
We speculated why, and among several possibilities, we figured the most likely and obvious is this: what happens when you get cancer or have a heart attack at 72 and your insurance company denies all your medical claims citing the entire volume of ice cream, pork, beer, coffee and diet coke you've consumed in your life? Or cite all your family and friends that smoke, even though you don't?
I make what I think are quite responsible choices with my health, but that conversation has stuck with me as an example of how information about me, information I'm not trying to 'hide', information that I didn't consider especially 'private', might be used against me at some point in the future.
It's up to whomever is targeting you to decide whether they want to turn something you consider irrelevant, into something that puts you in prison. For example, something not considered a crime today, such as having this conversation, can be a 'thought crime' tomorrow.
Oh, I see here film42, that back in 2014, you partook in a conversation that was negative of the regime's glorious goals. Guilty by association. 40 years hard labor.