You Should Probably Check Your Pokémon Go Privacy Settings https://www.buzzfeed.com/josephbernstein/heres-all-the-data-pokemon-go-is-collecting-from-your-phone (Information about the Google account is in it, but also other information Pokemon Go collects) Pokémon Go doesn't check HTTPS certificates properly http://www.theregister.co.uk/2016/07/11/pokemon_go_leaky/
Valid concerns though you should probably be more worried about getting hit by a car or shot for trespassing while playing.