There are two main reasons I can think of:

1. If you don't have privacy, governments can collect a psychological profile of you, which can be used to manipulate you at an individual level if they need to, or as a data point in a large data set to manipulate the society as a whole. It's still in it's infancy, but I bet governments are using AI exactly for this kind of thing

2. If you have something to hide
This doesn't need to be anything necessarily illegal or bad, it can just be embarrassing. This actually happened to me. When I was really young, 8-9 years old, I had what psychologists call "play sex" with some cousins. We didn't know what we were doing, but it's enough to mess you up as an adult. Over a decade ago I was dating a girl and things were going south. I thought maybe she thought something was off about me, so I decided I should try to tell her. But I was too embarrassed to tell her in person, so I emailed her telling her what happened when I was young. The relationship pretty much ended there, I kept the email as kind of a way to come to terms with what happened. I never talked to anyone about it before.
A few years ago I ended up in a very strange situation. I had graduated with a CS degree from a very good school, but I had trouble landing my first job. After a year of job searching, my grace period for student loans were running out and I had to find anything I could fast. I had a ton of debt. I was taking an online algorithms course to improve my whiteboard interview skills, I asked someone there who lived in a different country whether their company was hiring, he said he'd ask them. After a completely dry spell, the next day I had two recruiters call me and said that their client companies wanted to interview me badly and that they move quickly in hiring. I scheduled the interviews back-to-back. The first company's interview went well, and it was strange because they wanted to hire me immediately, said that I had to accept immediately as I was driving to the next company for interview. It was a low offer but I accepted it, though I went to the second interview anyway to see if I could get a better offer. I went to the second interview, got a much better offer, and they wanted to hire me immediately. The second company was a foreign company, something didn't smell right. But I just shrugged it off, I assumed that sometimes things just line up like that for jobs. So I took the second job and I told the first job that I won't be joining them. I went ahead and arranged everything, rent, transportation, etc. I arranged to ship my car to the new city where I'd be working. Two weeks in I had to call the car place to arrange for where to pick up my car. Instead of getting the car place, it went to some other hotline and an automated voice responded with something like:
"You've reached the incest survivor hotline. Congratulations, you're the [X]th caller and you've won a 2 week vacation..."
I thought it was odd, I called again. Same message. I waited for the automated voice to end so I could talk to a person, some hispanic guy said it's the incest hotline. I went back to look at the number I needed to call, it was the right one. I called a third time to the same number and I got the actual car place.
Someone was trying to threaten or blackmail me, and they obviously managed to hack my email account because I never told anyone else about that. Still I even shrugged even this off as a coincidence, because sometimes weird stuff just happens. But it became very clear over the course of working for that company that I was marked, but I have no idea what I did wrong. It escalated into a very serious situation, I'm surprised I'm still alive today.