If you want to be 100% sure no data is being collected by your headphones your nest bet is going to be going back to wired. I assume that is not an answer you want but anything that uses a Bluetooth connection can be used as a vector to collect data on you. The only thing I can think of is either having your data off while using them, but that's probably just postponing the data collection. Do you have a source on what data is being collected? Would be much easier to find places you can help reduce the amount of data being collected.