Disqus has its own Privacy Policy that you can link to from your own Privacy Policy so that you can inform users that Disqus, a third-party you use, may collect personal data through the embeddable commenting plugin. Disqus discloses what kind of personal data it collects at the "Personally Identifiable Information" clause:
And Disqus links to its Privacy Policy agreement through that "Privacy" icon:
One thing that you might want to look into is the EU Cookies Directive. The directive requires notification to EU users about usage of cookies on a website. There are some differences across EU countries on notification and consent.
Since Disqus uses cookies, you might be required to inform EU users that your website uses cookies (through third-parties like Disqus). Example of a common notification bar: