Except this goes in your permanent record and increases insurance fees from then on. At least that is how it works in Germany. The only way to avoid this is to pay in cash. It‘s probably also a good idea to not bring your phone, so that there is no location tracking of you.
With the exceptionally low amount of real detail in this post, I am left with the most salient question: How can it be on a permanent record at a company when all involved parties (except for you of course) are sworn to secrecy?
Given this critical center concern, your closing thought of location tracking (while relevant for a nation-state actor) pushes the whole thought process a bit over the line of sounding reasonable.
Pretty simple, if you visit a psychiatrist/psychotherapist you have to pay them somehow. One way of doing so is by using your medical insurance. So you hand over your medical insurance card, and now they know you’ve visited a psychotherapist. If at any later point in time you want to get work disability insurance or switch to private health insurance you have to disclose any preexisting medical conditions, since there is a record of you going to a therapist, they could otherwise retroactively find out that you got treated for depression and deny your claim if you have burn out.