Consolidating UTXOs can hurt your privacy, but you’re sending the UTXO to yourself so someone would have to be actively tracking vs if you spend the combined UTXOs then the person that received might know who you are and can see all the inputs to the txn and make assumptions or infer certain things from it.

I like using joinmarket when combining UTXOs either for spending or consolidating, but you can use whirlpool or wabisabi to gain or keep your privacy.