the phone works even when it's turned off
That is completely false, if you power down the phone then the phone is doing nothing as there is no power. If this is a genuine concern of yours mitigate it with a phone that has a removable battery.
records all the time you're talking, and with neural networks you can find out what you said
Storing the audio is inefficient, if this were true it would likely transcribe the voice call to text. Think of the scale of phone networks how much data that would use.
even if you were ten meters away from the phone and in another room.
10 m away maybe, but not another room unless you are shouting.
the phone can see through objects,
Unless you specifically have a camera with a heat sensor then no. any amount of home insulation will diminish the effectiveness. A phone camera does not see through walls.
