One common method of data exfiltration is having seemingly arbitrary data depend upon the data to be leaked; a sneaky program may thus not send data outside a machine itself, but rather cause the data to be stored within information which would be legitimately exchanged via other means.
One example I remember reading about was a program which included a function to print a registration form, but before printing the form it would scan the computer for other software produced by the same company and slightly adjust the placement of a few items on the form based upon what it found. Scanning the form and measuring the exact placement of those items would then allow the company to ascertain which of its other programs a user had installed, without requiring the company to have any sort of network or modem connectivity to the machine in question.
Realistically speaking, the only way to ensure that an untrusted program won't share information inappropriately is to not allow any untrusted programs to have access to information that shouldn't be shared. Once programs have access to information, there are so many ways they can hind it that it would be hard to ensure one found them all.