What really matters is judiciary due process and the legitimacy of a government.
Companies are the ones gathering data, it's not the government doing it.
Before the internet, governments already had data on their citizens.
The internet makes it more difficult for the government to catch criminals and fraudsters.
If you live in Russia or China or under Trump's administration, there are good reasons to hide.
If you live in a country where freedoms and due process are respected, there is no point in hiding, UNLESS you can really argue that due process and freedoms are eroding, but that's a different debate.