Because the data is given by the user, to the app. For example, MyFitnessPal can share the weights you give in check-ins to advertisers or whomever. But if you had a app from a health provider or health insurance company that you logged exercises with, then HIPPA would be applicable because both of those two are covered entities.

An app could be considered a health info clearinghouse if it receives data from a covered entity, in which case HIPPA would be applicable. But as far as I have seen, these mental health apps are paywalled audio snippets about different mental issues.