To know about it they would have to obtain the client records from the company.

Doing collaborative transactions (coin join) breaks the links to the withdrawal addresses you provided to the exchange/company you used to purchase, who have a record of those addresses. After the link is broken, it provides you forward privacy with the coins, giving you some level deniability of what you did with your withdrawn coins. If they look on chain, it will be clear you coin joined, but if done correctly, determining which coins you may or may not still own, will be difficult for someone from the outside looking in to determine.

There is still always the record of purchases and withdrawals with the company/exchange. You just gain some of your (forward looking) privacy back. Up to you to decide if there is a point to or value in doing so. But the more people who do these kinds of transactions regularly, and the larger the pool of funds becomes, the more private the ledger becomes. Anonymity via obscurity.