Student monitoring, the most common practice in Learning Analytics (LA), has become easier and more efficient thanks to the use of tracking approach that consists of collecting data of users and of their interactions throughout learning platforms. While LA gives considerable assistance to the tutors in the tasks of monitoring online learning, it also creates major drawbacks for the learners. For instance, tracking approach in LA raises many privacy questions. As for the learners, knowing that their personal data are being used, even for educational purposes, they could radically change their perception on e-learning technologies. Not to mention that these concerns would have a strong impact, sometimes very negatively, on not only their behaviors but also their learning outcomes. To better understand the side effect of LA, more particularly the privacy issues in e-learning, the research effort presented in this paper covers two main aspects. First, it outlines various tracking approaches in e-learning. Second, it analyzes how the learners perceive the use of their personal data and the related privacy issues. To do so, an experiment has been carried out with the participation of students from three different universities in France and one university in Germany. The major contribution of this paper is the awareness-raising of privacy concerns in exploiting tracking data in e-learning, which are often overlooked by researchers and learning content providers.