I'd like to send my pbix file to a colleague to make him work on that. Does the pbix file also contain the data or is it just the visualization and they have to load data by themselves?
Usually yes it does contain the data. The only choice for the majority of sources, and the default choice for the other sources is to import data.
If you need further info, this doco explains those options in detail. You could just skim the overview at the top to get the broad picture:
Also, if you have a .pbix file and you want to remove the data, you can use File / Export to save it as a Template (.pbit file). Anyone opening the .pbit file will have to connect to the data sources and run a successful refresh before they can see the data.