It's possible that vaccination increases your risk of contracting COVID at least temporarily. There were a number of SE Asian nations (like Taiwan, Thailand, Vietnam) that all saw extremely low community transmission right up until they started their vaccination roll out.

But also, at this point, I believe that people with natural immunity are really clustering among the unvaccinated, and because natural immunity is much more protective against infection, the stats are really making it look like being unvaccinated is better protection against infection.

My wife and I fall into that group: we're unvaxxed because we already had COVID and know out protection is already better than the vaccinated.