If it doesn't cost them any actual ongoing money then I think most people simply don't care. Same reason people find advertising annoying, but don't really care on any deeper level, it doesn't cost them anything tangibly.
Although there's some portion of apathy, the vast majority of people are ignorant or even misinformed. You can't conclude from the actions of an ignorant person that they don't care about the thing they don't know about / don't understand.
Well, I use supermarket loyalty cards as the primary example, they've existed for years, lots and lots of people carry them, if you point out that companies are using them to track your spending habits (across multiple different industries and product categories) people don't care. They receive a tangible benefit from it (discounts) and don't perceptibly pay anything for it.
I don't think that's a fair example. The vast majority of the people have never thought about all the ramifications. It's not a case of well-informed people who understand the issues deciding that they don't care. It's a case (like most) where people don't sense that the issue is important enough to make even understanding it be a priority in their busy lives.
Most people do understand that the loyalty-cards are not necessarily the only way to get discounts or even that they are actually discounted (in the absence of those cards, prices would be set differently overall).
There are certainly stores we may legitimately feel more trusting of than others.
Anyway, lots of people really appreciate a store like Trader Joe's that just has reasonable prices across the board, never does any sort of discount promotions and never tracks anyone — even if the customers never explicitly thought through that aspect of the experience, they still experience it and feel differently than they do with the other tracking-focused stores.
On a side note: I learned recently that sales and such at most grocers are actually driven by the brands themselves. The reason Trader Joe's is free of all that is because they sell relatively little that is of the big-marketing-budget style branded products…