Clarification: Nearly ALL wallet providers are tracking your IP address

Most wallets that connect to the Internet track your IP address. This is often for bugs reports, statistics, and other uses. They'll store your IP address, and that could be logged and recovered in the future. And if you're using an offline wallet, it probably connects to an online service or RPC that does track you.

So before you vilify Metamask/Infura and promote other wallets you think are safe, just realize that it's extremely common. Now whether it's a bad thing really depends on you.

Most dApps, web3 sites, and CEXs already track you, and you've probably given away your IP address many times already. If you need to hide your tracks, you should've used a VPN that doesn't store your IP address in the first place. It's already too late.

Wallets that track IP

Loopring

Complies with the law and tracks IP

https://loopring.io/#/document/privacy_en.md

We will not share your information with third parties except to provide you with our services and products, to comply with the law or to protect our rights.

(c) Device information: We will collect the relevant information of your device using our services, including device ID, version information of the mobile device operating system, mobile device platform type (iOS or Android), phone language, channel information (e.g., GooglePlay, Apple App Store), IP address in order to provide statistical analysis services, and calibrate the accuracy of report data through geographic location to provide basic anti-fraud function.

Gamestop

Tracks IP, GPS, and lots of device info: https://decrypt.co/101133/gamestop-rolls-out-metamask-like-ethereum-wallet-to-support-nft-marketplace

https://wallet.gamestop.com/privacy

TrustWallet

Tracks IP: https://trustwallet.com/privacy-policy/

Ledger Live

Tracks IP, click actions: https://www.ledger.com/privacy-policy

Guarda

Tracks IP: https://guarda.com/privacy-policy/

Metamask

Some (likely most) RPCs track IP, including the default Infura RPC for Ethereum mainnet

Electrum

Electrum connects to ~10 servers at a time, and they see your IP address. Chances are at least one of them is tracking it.

Wallets that mostly do not track IP

Exodus

Not normally tracked. Is tracked when using the in-wallet exchange feature: https://support.exodus.com/article/138-what-information-does-exodus-have-access-to

MyEtherWallet

Does not track IP as far as I can tell unless you visit their site: https://www.myetherwallet.com/privacy-policy

Unknown

SafePal

Collects IP address when visiting the website. Unknown about the app.

Trezor Suite

Website doesn't say