The primary way that free VPNs make money is through advertising revenue generated by ads delivered while using their services and selling user data. These advertisements can be intrusive and target user data in order to serve more personalized ads, making them unpopular with some users.
Additionally, many companies providing free VPN services monetize information they collect about user activity on their networks such as websites visited, time spent online, etc., which may not be ideal for those concerned about privacy rights.