I really hate to take NSA part on this, but, if the data is available on the open market, why would they need a warrant.
The problem is not that NSA buy it (they have access to it anyway, through other means) the problem is that everyone can buy it.
The concept of a warrant is to have an authorization to do something that an entity would normally not be allowed to do. So if the NSA would normally not be allowed to have some bit of information, then it doesn't matter where that information is, how it is acquired or how 'available' it is.
Of course, that's all up to interpretation because the various documents/amendments etc. are all made up in legalese that relies on precedent and opinion to make some sort of sense of what's actually allowed. So in the case of the NSA they would make the same argument you are making: the NSA didn't "get" the information so therefore they don't need to be authorised to "have" it. But the issue is that "getting" something and "having" something isn't the same thing.
Realistically, the problem is exactly as you describe it, you can't really protect people if you're allowing random parties to just collect data on everyone with no consent or legal base for processing. Because even if the NSA needs a warrant, you can just proxy that too where you don't even buy the data, you just buy 'search results' and offload the entire data mining process. Now the NSA doesn't acquire the data nor hold it, it just gets results. And then we'd all get a discussion about that, and they could just proxy that too (have some other entity to collection and investigation etc. and just relay results as anonymous tips to the NSA). It never seems to end.
but the nsa can go around and buy knifes
If the data is available on the open market, it's available for purchase by any legal entity.
How it's used can be criminal but purchasing it is a valid scenario for any entity.
If we're concerned about the NSA using it, we should be concerned about anyone using it.
So I think the bigger debate is why is all of this personally identifiable information available on the open market?