Imagine this scenario: you get a letter at your home saying come to an address because your favorite shoes are on sale, and you go there and instead they pack you into a bus and drive you across town to another store. And at that second store they force you to show them your driver’s license and they write down where you live, how old you are, and what kind of car you drive. Then they blindfold you and pack you back into the bus and drive you to a shoe store where you find the shoes you want. If you called the police they’d investigate. It’s suspicious.
Now take that scenario and apply it to the web: no physical transportation, but you go to a web site (via a spam email, a web search, browsing, whatever) and you get redirected to a retailer’s site and they capture your IP address and some info about your computer, browser, and operating system. If you called the authorities they wouldn’t know what to do. They rely on search engines to police the net, yet search engines can only remove sites from their results, not from the web.