Given that you are using Calibre, that indicates that you are storing the books on a PC. In that case, you can use Calibre to transfer the books from the PC to the Kindle. So you never need to switch on wi-fi on the Kindle, which means Amazon have no way of knowing what books are on the device.
That said, I wonder if it really matters. Why would anyone at Amazon care what you (among several million Kindle owners) are reading? And what does it matter if they do?