You can search everything using Windows 11's Search tool, including apps, files (on the device and in the cloud), settings, and web-based data. However, it also records the queries you made when using Bing to search the web, as well as the files, folders, programs, services, and settings that you searched.
Windows gathers this information both locally and remotely to improve user experience and recommendations. The best approach to preserve your privacy is to delete your search history if you want to keep your recent searches hidden from inquisitive eyes.