There is a youtube video about data collection by cars. They suggest the solution of removing the SIM card from your car. They address some technical problems, such as getting access to the SIM card, losing functionality and not getting software updates. They do not address any legal issues.
I am aware that making some modifications to your car is illegal. Insurance companies require one to make them aware of "modifications", and failure to do so could invalidate ones insurance not allowing one to legally drive the car. I think some changes that affect safety or emissions may be illegal, and there are laws about defeating technical restrictions on one's own devices.
Is it legal to remove the SIM card from your car, either directly or by invalidating ones insurance? I am in the UK, the linked video appears to be principally focused on the US. Answers from any jurisdiction would be interesting.