There have been some antivirus programs that have made it into the news with Avast being the most recent after admitting to collecting and selling user information to its partners. Just about every online website or software program gathers information on its users. Typically the information is used for research so companies learn how their programs are being used and what improvements should be made to retain and gain more clients. While this is a common practice, it does make those using antivirus programs uneasy since these programs tout methods of blocking internet snoops and threats.
One important use of data collection, especially among antivirus programs, is to learn and stop newly emerging malware, also known as zero-day threats. These files are so new that they haven't been logged into malware databases. By watching similar movements founds in known threats, the best antivirus software can stop new threats before they can cause problems. However, these new threats must be properly cataloged so other antivirus programs can be aware they exist and keep a lookout for them on other users' PCs.
In both of these cases, every antivirus software, both paid and free, gives you the option to opt out of data-collecting programs. Some, like Trend Micro, separate these programs so you can opt out of one and agree to another. But most programs lump all data collection under a single permission tab. You are asked to deny or give permission for data collection the first time you install an antivirus program. However, you can always change your preferences by finding the permissions under your program's settings.