Steps to reproduce the issue

Create custom fields for user.
Create a user account and fill custom fields.
Submit anonymization request.

Expected result

Customfields will be anonymized

Actual result

data is not anonymized

System information (as much as possible)

Joomla! 3.9.12

Additional comments

The following solution would fix the problem:

plugin:
plugins\privacy\user\user.php

new function:

public function anonimizecustomfields($userid){
       // JLoader::register('FieldsHelper', JPATH_ADMINISTRATOR . '/components/com_fields/helpers/fields.php');
        $userfields = FieldsHelper::getFields('com_users.user', $userid, true);
        $model = JModelLegacy::getInstance('Field', 'FieldsModel', array('ignore_request' => true));

        foreach($userfields as $userfield) {
            $model->setFieldValue($userfield->id, $userid, '----');
        }
    }

at the end function:
onPrivacyRemoveData
$this->anonimizecustomfields($user->id);