Searx is a local install. You're sending nothing to Searx.
Unless you are also installing your own personal web crawler that scans all of the web pages of the world and indexes them on your local machine, then something is reaching out to someone else's server somewhere to search their database for the inquiry you are making.
Because your machine reached out to someone else's server, then that someone else knows what you searched for, and can build a database of inquiries from you (or your local install of Searx.)