Your friend also cannot just bust into your house and search through your things. Now the government because it has enormous powers behind it and people willing to do the wrong thing on its behalf is specifically limited in what it’s allowed to do.
Because that's what's really happening here. Once you sell your data to Facebook, Twitter, etc, it's no longer "in your house." If you granted third parties license to collect and sell your data under terms of service, then that data no longer belongs to you, and you agreed to that..
To me the bigger problem isn't the government buying data on the open market, it's that data is a market to begin with.
That's the general thrust of Fourth Amendment jurisprudence and is called the "third-party doctrine". But the Carpenter decision in 2018 is a big exception to that, and it's likely that more are to come.
Seems like a problem that will never be fixed, on purpose.
One concerning development is how much the Democratic Party, which used to be a major proponent of restrictions on government searches, has cozied up to the defense and intelligence establishments since 2016 because of a shared interest in stopping populist right-wing movements that also happen to be anti-interventionist. They're also less keen on digital rights these days because they want to censor right-wingers online.