A foreign entity would have no obstructions to using collected information as ruthlessly as possible, whereas even a corrupt/politically-motivated/unrestrained domestic entity would have to weigh the comparatively massive risk of being implicated or exposed.

“what are they going to do with it?”

If you have valuable information or responsibilities, that could be motivation enough for foreign agents to seek leverage. If you don’t, then it’s equally fantastic to think the CIA gives a shit about you for some reason.