Because "they" turn your lack of privacy into money. You're selling yourself for free.
Economic and psychological abuse angle:
Because "they" will attack you economically by psychologically targetting you with advertising for items you don't actually need, but they will manipulate you into thinking you do.
Creepy / Icky angle:
Because "they" create an electronic copy of you with all this data. With AI and other existing / future technologies they could create a version of you to populate their metaverse.
You can't trust your government angle:
"They" sell the electronic copy of you, and this can be bought by anyone, including governments. If the government of the day (which may change - boy howdy) don't like things you say or how you conduct yourself (or re-define what fraud and corruption mean), then they can target and harass you much more specifically when armed with all this extra information that's extracted from your electronic trails.