VPNs (Virtual Private Networks) are heavily promoted as the ultimate solution for personal online security. There are several situations in which a VPN may not protect your privacy, even if you expected it to.
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1) VPNs don't make you completely invisible on the internet
Although a VPN can hide your IP address from the website you connect to and also hide the website you are visiting from your service provider, it is not an invisibility cloak. First, both the website and your ISP probably know you're using a VPN, and they also know the time and session duration of your visit. Second, your actual activity on these sites can easily reveal your identity, as there are cookies on your local system, and if you log into any account, then obviously the target site knows who you are.
The only thing a VPN does is hide your IP address, your location, and the website you visit from outside observers. Beyond that, it doesn't prevent any of the other standard ways to identify someone online.
2) All VPNs are not the same
There's a reason we have to do a VPN review every year. VPNs use broadly the same technology, but they differ dramatically in how they implement that technology. Some VPN services keep logs of your activities, while others may have bugs that leak information to your ISP. Some VPNs are located in regions where privacy laws are weak. There are numerous factors to consider, and you shouldn't assume that because you use a VPN, you automatically get the best protection.
3) VPNs cannot bypass all geo-restrictions
VPNs are useful for making it appear that you are in a different location than you actually are. Some people appreciate this for privacy reasons and others use this feature to access geo-restricted content. The thing is, this doesn't always work. There are many ways for a target server to know that you are spoofing your location, although the most common method is to simply maintain a blacklist of common VPN server IP addresses. This way many streaming providers detect VPN usage and send you a message telling you to turn off your VPN if you want to continue watching.
The only way to avoid this is to use a VPN service that offers private IP addresses (for extra money), which means that the servers cannot tell the difference between the IP of that VPN server and any normal user.
4) VPNs don't always keep you safe from government surveillance
VPNs are a lifeline for many people in the world who live in countries where their governments may not be the biggest fans of free speech. VPN technology allows people in these countries to communicate with foreigners or access websites blocked by their government. However, VPNs themselves may be illegal, or you may only be allowed to use approved VPNs that will share their information with the government.
Additionally, ISPs and by extension these governments will know that you are using a VPN and which VPN it is. Which means you can't just rely on a VPN to keep your goings-on secret. Instead, you should use tools like TOR, the TAILS and virtual machines to further hide your identity and actions.
5) Free VPNs are not as good as paid ones
Free VPNs have to make money somehow, and whether that's through ads or selling your information to third parties, it's not good from a privacy perspective. They're also not ideal for breaking geoblocks, as while they might let you bypass a location check, they usually don't offer the bandwidth you need to stream or download anything. Unless it's a free VPN with a focus on privacy from a reputable player like Google, you should probably avoid it.
6) VPNs do not completely prevent ads and tracking
Unless it's a VPN that also includes an ad-blocking feature as an extra, then you're not going to score any privacy points when it comes to ads. Ad tracking is done using local data stored in your browser, such as cookies, and these tracking cookies can track you across websites. At best, you may be served ads that are specific to your VPN region, but they will still target you correctly in terms of ad type. Also, based on your existing location data, it would be easy for them to figure out where you are really from.
You'll need to pair your VPN with private browsing features or a privacy-focused browser like Brave for it to be effective, and frankly, a VPN isn't even necessary if watching ads is your main concern.
In conclusion
While I still recommend that everyone have a VPN as part of their overall privacy toolkit, you should never assume that a VPN alone is enough or think that it will protect you from things that it was never designed!