Neither Last Real Hero nor LastRealHero.com currently collect or store what's typically termed "personally-identifying information" (name, phone, email, age, etc.). However - be aware that the IP address of the connection, the name and version of the platform (i.e. Windows, Mac, Android), the version of the game connecting to the server or any combination of these and other mundane values may at times be stored in activity logs.
If you're making use of Last Real Hero's network features (i.e. leaderboards/high scores tables), then [obviously] your serial #, scores and whatever else applies will also be stored. Some forms of cheat attempts are also logged in order to improve security measures utilized in future development and applications of the underlying boilerplate/engine and/or Last Real Hero itself.