He admits that governments are partaking in the frenzy at least as much as are companies, but doesn't explain why it would be easier to get a government to change, than to change a company, or start a new one.
Governments are able to reach more definitive consensus than free markets - a market would be not easily be able to make everyone use an anonymizing proxy, for example, but a government could legislate that. Governments can also move costs around, such as by funding a national proxy service with tax money.
But on one level, free markets and democratic governments are both just methods that societies use to enforce their collective wills. There are limits to how much their decisions can differ. There's a reason Schneier calls a situation created by Internet companies a surveillance state.
When we talk about government, the only way to opt-out is to physically leave and then that can only take you so far.. because even then, you might fall under other countries' jurisdictions no matter where you live. :(