The software on the N9 is very good privacy wise, and with Nokia having shut down all services connected to it, you can be even more sure no data about your usage will be sent somewhere.

But we have to face, that there is the big flaw as mentioned by juiceme. The Operating system is old, very old by software standards.

As an example: If you have Bluetooth enabled a skilled hacker can get your data that way. But there exists no known exploit in the wild, so I agree with juiceme that somebody attacking your phone that way is no big risk.

Another aspect is missing protection against somebody reading your data if they acquire the device. Modern phones protect against this by encrypting the data. On the N9 anybody can load a rescueOS image and steal your data.

So you have privacy in your daily life, but don't trust your N9 as save data storage when you travel.