By Elizabeth Schulze

When it comes to privacy, Facebook's founding president Sean Parker worries more about Amazon than Facebook, pointing to the retail giant's voice assistant devices called Alexa.

"If you're having a conversation in front of an Alexa-enabled device, Amazon is not guaranteeing you any privacy," Parker said in discussion on stage with CNBC's Hadley Gamble at the Milken Institute MENA Summit on Wednesday.

Parker said it is against tech companies' own financial interests to police themselves on data privacy and security.

Sean Parker, founding president of Facebook, worries more about Amazon violating your privacy than Facebook.

Parker said on Wednesday there is "no limit" to how Amazon is storing and listening to private conversations, adding that these recordings "could potentially be used against you in a court of law or for other purposes."

"If you're having a conversation in front of an Alexa-enabled device, Amazon is not guaranteeing you any privacy," Parker said in a discussion on stage with CNBC's Hadley Gamble at the Milken Institute MENA Summit.

Amazon came under fire last year when an Echo device reportedly secretly recorded a family's conversation and sent it to a random person. Amazon blamed the incident on Alexa misinterpreting a set of commands.