This article from Which? talks about spear-phishing, where scammers obtain your personal data in many ways – from data breaches to trawling social media and then send threatening messages demanding money.
If you receive a scam email claiming to have access to your data, don't engage with the scammer. You can report the email by forwarding it to report@phishing.gov.uk. It's important to not respond to these scam messages.
The article contains lots more useful advice.
