If you watch cable TV, you will see ads. No one is forcing you to either tune in to that channel or watch the ads themselves. It is your personal decision on what to do. The ads might annoy you, but if there are no ads, there is no TV channel.
If you want everything for free, then you will get far less choice because you will be reliant on people to create sites that are just a hobby, rather than a business. But even hobby sites means someone else has to put in the time and effort, plus their costs such as hosting, site software and so on.
The other thing is that site data helps you improve the website to cater to your audience. More data = more potential improvement.
What I do find annoying is having to click popups everytime I go to a website to say they have cookies etc. We all know all sites have cookies, or take data. Since this is the case, why not instead reverse to how it used to be, where you had privacy policy etc that would inform those who are bothered by this information gathering. Then they can leave the site if they do not like it.
All these regulations has resulting in me constantly clicking popups. Things used to be better back in the day, before regulations stifled everything and made site owners lives way more complicated. Just look at the EU regulations regarding websites. They are far too complex for non-corporate websites. Imagine a builder or plumber having to navigate hundreds of pages of complex legal jargon to understand their liabilities, or the fact that laws differ between countries, and if you have a website, you have to abide by all those laws globally, and they also contradict one another in many cases, between countries.