It is highly dependent on make/model but most of the time the data is transmitted through the telematic control unit (TCU) which often has a cellular modem that can connect to cellular networks and you might be able to remove or disable/cut power to the TCU.

There can also be other devices similar to a black box in the vehicle which record data and store it in case of a crash for forensic purposes. I would leave these alone as long as they don't have network connectivity.