What concerns does a scientist have in studying their own data?
I can think of two aspects that might be problematic depending on the exact details of the study:


If identifying your data would also allow you to identify anyone else's data, then clearly you having access to the dataset might violate someone else's privacy. This could happen if there is any familial data stored (e.g. in a twin study), or if experiments were conducted in smallish groups and you met the other participants in your group.
If the stored data include anything of a highly sensitive nature (e.g. information regarding disease susceptibility) then those running the study may want to have control over how that information is delivered to you, so that support can be provided in terms of correct interpretation or counselling. This would almost certainly have been discussed with you at the time of the original study (unless you were very young or did not have mental capacity for some reason) so it's likely to be a formality, but still worth disclosing.