Q: Why should it bother me that companies store data about me from the internet?

The “news” that you see on the internet has been tailored to your existing perspective, and continuously pushes further to the extreme of your perspectives. For example, if it is determined that you have a slight leaning toward the Republican party, you will see more positive Republican news, more negative Democrat and 3rd-party news, and less negative Republican and positive Democrat and 3rd-party news. And the news that you do receive will slowly but consistently become more and more extreme until the bias prevents you from perceiving anything else (hall of mirrors).
Internet advertising will be targeted towards your preferences and lifestyle. It has been demonstrated the algorithms are able to predict your likes and future behavior better than friends and family. This again strongly biases what you see and learn from the internet, creating a hall of mirrors.
When making purchases online, the price you pay is highly determined by previous searches you have made. For example, if you have been to site xyz looking for hotel rates yesterday, and then return today to make a reservation, the pricing may well be higher as they know how strong is your interest.
If you still don’t think it is an issue that your personal data is available, please post your phone number, bank account number, credit card information, sexual preferences, family members, where your children go to school, and when you are taking your next vacation as a reply to this message.