Is this because you would not like to work at a company handling such data, or because you think you are making a difference by not doing so?
If the former, fair enough. If the latter, you might want to rethink the approach - refusing the job only means someone else will take it, and is likely to be 'worse' according to the values that prevent you from taking the job (less likely to blow the whistle, less likely to challenge sales on projects that are evil etc.)