We actually sort of have a Constitutional right to privacy, or at least that's how the Supreme Court has interpreted it on occasion.
The problem is, cookie tracking and that fun stuff generally doesn't cause any harm. It's icky and creepy, but it's not helping stalkers track their victims or anything. (Which, BTW, Google your name and city together and good grief, your whole address and phone number and everywhere you've lived is available in many, many databases for any scumbucket to peruse for a few bucks, and the burden is on YOU to get yourself removed from those databases. That worries me far more, though I'd like to have better protection against tracking, too.)