Data mining is the activity whereby corporations, governments, hackers, etc collect any and all data on you as an individual. Internet sites (facebook, email, etc) and connected devices (think Alexa), phones, medical records, really any database kept by any institution can be accessed and "mined" for your data. Even the DoD has been hacked and millions of records of government employees and military servicemen have been compromised.
You can't prevent your exposure to the threat, but you don't have to cooperate with it either.