I have two answers for you, one the real answer, and one if you don't agree with the real answer.
And apologies the phrasing my be a bit US-centric, but I think it applies anywhere. The real answer is that I disagree with the premise of your question. If one has a right, to ask "why are you exercising your right if you have nothing to hide" is incorrect. Consider if you have the right to avoid self incrimination (in the US called "taking the 5th" referring to the 5th amendment). One could ask "if you have nothing to hide, why NOT testify". Alternatively, if you have a right against unreasonable search, and one (legally) refused authorities permission to search your person, one could ask "why do you mind being searched if you have nothing to hide". The answer is that such rights do not come easily, and if they are ignored and allowed to fall to such arguments, soon they go away. If you value such rights, exercise them regularly!
Similarly if one has a right to privacy, to ask "what are you trying to hide" is the same thing. To exercise the right to privacy should be ones privilege, regardless of the circumstance. Claiming this is indicative of nefarious intent is, well... a bit like the question (hope it translates well) "Have you stopped beating your wife yet".
But to specifically answer your question even if one doesn't feel the need to exercise their right to privacy....
- Who knows what information they actually collect? Might they collect personal information? Might they collect whole images (and those risk them escaping into the wild)? After all, Adobe has already had a massive data breach.
- You might not believe them in the extent of data collected -- look at the huge number of companies caught over-reaching (google's street mapping that collected personal wifi data for example). And those are the ones who got caught. Trusting large companies to tell the truth is rarely a good bet.
- Maybe I have a metered bandwidth connection and do not want to pay extra for them collecting information?
- Maybe I am working on something highly secret (not nefarious) for my company, and have a legal contract not to allow any information to leave my control?
- Maybe I'm concerned that Adobe is going to change pricing models to one that is usage related -- maybe I don't want to contribute to their collection of data that might support research into that?
- Maybe I'm just annoyed at Adobe in general and want to spit in their face this month, and this is a small way to do so?
- Maybe I feel that, like carrying advertising on my car for a dealer should not be done for free, that using my data should require compensation (which they do not offer) so I want to say "no"?
Are these good reasons? You could argue perhaps with any one of them, but they would seem to all be legitimate reasons having nothing to do with license cheats.
Honestly, I believe your question is a bit insulting to those who may choose for whatever reason not to want to share information.
Incidentally, I DO share that information with Adobe. But I am offended by their decision to turn it on, and as I finish this note, I plan to go turn it off just as retaliation. So add that to the list.