Not in capitalist countries. Serving someone an ad that is actually relevant to them is good business.
The government doesn't need web cookies to find you, they can just call your ISP or your phone carrier, or check surveillance cameras, ask your bank, so-on. No one from these private companies has the time to look at the data, you are just a number to them.
Though it might feel like it, you aren't being spied on in any meaningful sense. You are just being profiled, as a tax to use all of the free services you have access to.
Paid services that don't sell your data are the way to go, if that kind of thing scares you. But the ads you see online are going to suck.