This is not a physics question. This is a moral one. The answer depends on who you ask. Information age has brought about the need to the questions of data, its ownership, control and utility. Classically, you were in complete control of your own data, for instance, you shared your photos with people physically. More importantly, only if you wanted. You could totally decide to send the copies to specific people or hide even the photo frames at home if someone else visited.
In the 21st century, our engagement with data, especially to collect, store and process them has reached another level. It is integrated in our daily lives to a great extent. If one looks into it, it seems like every activity you do on the internet is recorded somewhere. The data about every individual on the internet is being used by for-profit companies for their business/financial goals. Is this the right thing to do?
Some argue that there are good things that are a consequence of this access to the data by the companies. That somehow there is a relationship between data collected and "good things". A example generally brought up is the recommendation engines. The case goes somewhat like this: If Netflix or YouTube doesn't know what you like, and recommend things accordingly, it will be incredibly hard to find things suitable for you.
My point is not generally about the data collection though. I would like to clarify that it is about identifiable surveillance systems that these corporations have setup across the internet. Netflix's recommendation system, although still an echo chamber, isn't that big of a deal as a the Facebook feed curation algorithm. Facebook is an ad company, all their algorithms are aimed at making users spend more time on the platform, so they can generate more revenue through ads. This model has been proven to able to control your emotions (read more) by Facebook themselves.
Polarization of opinions is another side effect of such systems. Youtube, for instance, nudges its users to watch more of the content that they already watch. Our information sources these days are compromised. They only reflect what we are, there's nothing that challenges our thoughts other than other people… And somehow, we have started losing friends because they have a different political opinion from us. Information sources, if compromised, can influence your thoughts… this is discussed in the narrative of George Orwell's 1984.
Another thing that people say a lot, when they find out how companies monitor them across internet, is "I am not a celebrity or influential figure, how does my data matter?" Well, it probably doesn't in the pool of billions of people. But our thoughts do matter to us, and affect people around us. The way we think, is highly affected by our knowledge. The knowledge we have comes from the information we have learnt, and experiences we have had. Our surveillance gives the corporations (even governments, in some cases) the power to influence us to a greater degree than we know.
Our data must belong to us.