I'm not sure you have anything to explain to someone who responds with "Why are you surprised?". They understand the implications; nothing to explain there. Where they probably differ, is that they are likely resigned to the belief that it is not within their power to stop it (which I tend to agree with) and the only way to live with it is to act accordingly.

These people accordingly limit their trace-ability through channels they suspect of being monitored (e.g. phone, financial transations, Facebook, Google, Twitter, etc. - not everyone signs up for these) and when they do use such channels, they do not divulge private information through them. I realize for some people I'm conjuring up an image of a person wearing a tinfoil hat, but these people (and I can't even say I'm one of them - I fall somewhere in between them and "average joe") weren't so "paranoid" after all.