In general, if you are concerned about the privacy or “security” of something, your best bet is don’t send it to the API. This would include snippets of sensitive code, or events that contain sensitive PII. I haven’t seen any explicit guarantees of 100% privacy with the general API.
However, I have heard of private instances of GPT through Azure, but not sure on the privacy assurances there either. Private LLM’s (hopefully) will be rolling out, since the demand is there, but get your checkbook out since the larger models cost some bucks $$$$ to run at scale.
There are also open source models you might consider (and run on your own infrastructure), but as of right now, they aren’t typically as capable and wide-ranging as the current paid OpenAI API versions, but you would need to evaluate them yourself, depending on your requirements.