When you look at the internet today it became very centralized. Over the years communities from self-hosted websites moved onto social networks and instant messengers. This happened because services provided by those companies were cheaper and more comfortable to use but it had a price. The few companies who were now hosting these communities found themselves to be in possession of a vast amounts of data.
Almost every move I make on the internet is tracked by some company, be it Google, Facebook or any other lesser evil. Then you have VPNs which seem to be a joke because you have no guarantees that your data is safe. Some time ago someone accused ProtonMail, ProtonVPN and NordVPN being owned by the same data mining company (Hacker News). Even the internet browsers like Chrome are constantly tracking your activities. It's hard to deny that anonimity days on the internet are over.
But what's the problem? Do you have anything to hide? Nobody cares what kind of sick fetishes you have, all that data mining is done so they could show better ads for you.
While I would not be comfortable sharing all my computer history with the rest of the world it is not the problem I am worried about. You see, the more information you have on someone, it gets easier to predict said someone. If you have even more data to compare you can even start profiling people based on similar traits, behaviour and other characteristics.
Power of Sale
Powerful is someone who owns such information and is able to interpret it in a correct way. If you know what people like and dislike you can easily manipulate them. When someone tells you that they just want to show you better ads it could seem harmless but isn't our society based on selling? Aren't lawyers selling their clients to judges, parents selling their children to a better school and politicians selling their public image to voters? How hard is it to win democratic elections when you know the exact way to act and talk to sell yourself to the majority of the voters? And it may sounds like something out of the dystopian future but something like this already happened (CNN Politics - Donald Trump's mind readers try to win him voters). I am aware that CNN was and still is biased towards Donald Trump and even if it's completely true this alone didn't hand Trump his presidency. But it is there. Yes, it is very primitive but it is still there. And as the system that interprets the data is automated it will get more sophisticated until the next election.
That's why I think that data mining is so dangerous. If some organization owns all the information about us and have the tools to use it, that organization will have such enormous power I believe nobody should have.