How to stop spying camera?

Typically such hardware modules are using the closest wireless network to transmit the gathered data over VPN, it may even hack the nearest one, using Wi-Fi protocol vulnerabilities. USB devices may try to use the host's Internet connection, but such a way is not so transparent and will be detected by an antivirus and a firewall, if them both are configured properly.

But still, the weakest spot here is Wi-Fi, so make sure that your local wireless network is safe. The best way to avoid those threats is to avoid those gadgets, but if it is impossible, you may try to block those wireless connections yourself. In that case you will need a simple WiFi cell phone jammer. That's what will make sure that your data won't be stolen.