BuddyPress 4.0 added support for personal data exports of user under user account settings. Here is a screenshot showing the screen.
If for some reason, you do not want this functionality, you can add this line to bp-custom.php(wp-content/plugins/bp-custom.php) or functions.php of your theme
add_filter( 'bp_settings_show_user_data_page', '__return_false' );
And that's all needed to disable the BuddyPress user personal data export setting.