I've just flashed my Nexus5 with Android 5.1 factory image using this how to:
I've made a complete backup off all my data since I was sure I'll loose it. Also the how to states:
"*Flashing factory images wipes your phone completely clean, leaving it at a factory, out-of-the-box state."
This also happened after flashing my Note 4 with Android 5 withe the rom downloaded from sammobile.com. (flashed via Odin)
So - why is all my data (photos, apps, calendar/contacts) still present after flashing the new rom?