In Norway, as an act of sensibility and kindness, prior to WWII, registers were kept at all town halls as to your religion. The point was, people wanted to be buried in the proper cemetery. It was a plus, people registered willingly.

Then the Nazis rolled in. And you can imagine what happened with those registers.

So it doesn't even have to be about your own government. And with digital access being a world away, it can indeed be a threat.