As with all data you collect, you have a duty of care and safety to your participants and their information.
It may not be a legislative need to disclose this information (but in some cases it is, so be sure to check), but it is important to build trust with your participants to get their honest answers.
It would be beneficial to properly brief them on what you are collecting and why. In addition, add in your data management policy, or information on who will see and handle the information.
This would also give you a chance to gather in advance any circumstances that could prohibit you from using a participant’s data (e.g. bias or conflicts), making your analysis stage quicker and easier.