As the other poster said, both Zigbee and Zwave devices do not talk to the Internet. They can't even connect to your Wi-Fi anyway. They need to connect to a device that acts as a router but specifically for Zigbee or Zwave, usually called a Hub or Coordinator.

There's many different hubs around. Many commercial ones do indeed connect directly to the WiFi and therefore internet. But nothing is stopping you from buying a USB Dongle Hub with open source firmware and plugging it into a Raspberry Pi, if you want to eliminate the potential spying.

The Zigbee and Zwave networks inherently cannot communicate with the Internet. So the only risk of spying is if you installed something in the Raspberry that spies on you.

Both Philips Hue and IKEA Trådfri and many other vendors simply use Zigbee, which means you can bring your own Hub and completely eliminate the risk of spying.