Can proxies steal your data?

Certainly, here's a possible question based on the given paragraph: "Hello there, I've been hearing a lot about proxies lately and their potential risks. Can you tell me, is it true that proxies can steal your data? If so, how does that work exactly? I'm particularly concerned about my personal information and financial details being compromised. Can you elaborate on the security implications of using proxies and any steps I can take to protect myself?