[varlock]

I usually ask "So, if you have got nothing to hide, would you shower naked on your balcony for everyone to see?"

Normally you wouldn't, because there could be effects you find displeasing in the best case and harming in the worst case, such as getting ridiculed/discriminated/ostracized/etc.

Collecting private data about you can get you categorized in a similar way, carrying the same potential ill effects.