It used to be that there simply wasn't the human bandwidth to analyse all this information. I mean the actual data that could be gathered was far too massive for anyone to filter through and work spot trends and patterns of individuals. Sure you could filter for identifying information and track a specific individual, but usually for that to be required something would have made "them" suspicious of you in the first place.
Then came "Big Data" and machine learning. So, sometimes very large, clusters of computers can trawl through very large datasets looking for patterns which may lead to individual identification and then look for patters and trends in activity. This currently happens at the likes of Facebook and Google and is used to push targeted advertising which makes them huge amounts of money.
However, expanding this data capture out to every Wifi or RF communication you make in your daily life far exceeds would abilities today. From when I get up in the morning to when I leave the house I probably generate several million events on my digital footprint. By the time I come home and get to bed that will have become billions of events. I am just one person in a nation that has about 1.8 million people. "Big Data" does not even have the capacity to receive that amount of data in current infrastructure let alone store it or process it in any meaningful way.
Consider that a network of size X is used to provide service to these devices. Then a network of size X*2 as a minimum would be needed to record the full log of events on that network.
So we are back to, "It needs to be targeted tracking." to be of any use. That still requires tracking and analysis to identify individuals and then filter for the individual events or individual people you want to track. == HUGELY expensive.
Given the expense there needs to be a revenue stream to support it. Currently the only one I know of is advertising, this already happens.
Governments do not have the capacity to do this, while NSA might have impressive computers, I gather that those owned by facebook and google are orders of magnitude more powerful. All they want to do is make money selling your data on how likely you are to spend your money on buying product X or product Y. Scanning the data for other purposes makes no money as nobody else is willing to pay for it or could afford it.
I am NOT in anyway a supporter of the premise "Nothing to hide, nothing to fear", but ... flipping that argument around a bit does lead to, "Who the hell do you think cares about what you do, day to day?". People think they are far more interesting than they really are.