Data storytelling plays an important role in data workers' daily jobs since it boosts team collaboration and public communication. However, to make an appealing data story, data workers spend tremendous efforts on various tasks, including outlining and styling the story. Recently, a growing research trend has been exploring how to assist data storytelling with advanced artificial intelligence (AI). However, existing studies may focus on individual tasks in the workflow of data storytelling and do not reveal a complete picture of humans' preference for collaborating with AI. To better understand real-world needs, we interviewed eighteen data workers from both industry and academia to learn where and how they would like to collaborate with AI. Surprisingly, though the participants showed excitement about collaborating with AI, many of them also expressed reluctance and pointed out nuanced reasons. Based on their responses, we first characterize stages and tasks in the practical data storytelling workflows and the desired roles of AI. Then the preferred collaboration patterns in different tasks are identified. Next, we summarize the interviewees' reasons why and why not they would like to collaborate with AI. Finally, we provide suggestions for human-AI collaborative data storytelling to hopefully shed light on future related research.