Alas, the iPhone is not tracking you any more than you tell it to. Apple has posted a Q&A about the recently discovered coordinate data on your iPhones and iPads. Please read the whole thing, paying special attention to item #3, which has the exact reason for the data.
If you aren’t comfortable with having a fully-functional computer in your pocket that has the ability to triangulate its own position to provide you with all of those wonderful conveniences, you may want to look at something that’s a bit more difficult to track down. Like, for example, a pay phone and maybe an answering service.
And, as I mentioned before, each of us is our own biggest privacy threat.