When you embed Google Fonts on your website, the IPs of your visitors, the URLs of the pages they visited, and the User-Agent of their browser is sent to Google.
Now they say[1] they don't use this information for profiling and targeted advertising, but they very much /can/.
Given Google's business model, I personally don't have a reason to trust them with my visitor's data, no matter what they do with it. Self-hosting the required fonts is a 2-minute job anyway.