I think this deduction is actually wrong. Ask yourself why you hide some things from your relatives and friends. Could it be because quite a lot of people are really bigoted, and the immediate social costs of them learning more about you would be dire? Whereas data collection currently has only one visible consequence on the individual level: what kind of ads & spam you get, and how much. People correctly recognize this as mostly harmless.

People do react to things that affect them directly. In my country it is widely known that people trying to cheat our IRS or social insurance got busted over Facebook photos, so they know not to present a lifestyle that's different than the one they report to the government. (E.g. if you're consistently reporting low income, don't post photos of your two limos. If you're on a (paid by social insurance) medical leave that restricts you to bed, you'd better not get tagged on a photo placing you in a restaurant.)

EDIT: I don't mean to imply that the government has a backdoor access to this data; it's just there were cases of people dumb enough to share incriminating evidence of fraud that found its way to government investigators, by e.g. being posted publicly.