They don't have to state that they are mining your data. The data that you give them is what is being mined. They state that they are going to be collecting the information that you give them.
They don't have to state that they are mining my data, but they state that they're collecting my information? Contradictory much? Besides, they don't state that they collect user information. Replacing mining with collecting doesn't make it right either.
Obviously sometimes they violate privacy agreements. Facebook got brought up on charges for that a bit ago and was forced to change some things as well as agree to fines if they violate certain policies in the future. This doesn't really have anything to do with data mining though, other than that this data will be mined.
Did I use data mining in the title? Because I'm pretty sure I mentioned it twice, once in passing and once in a slightly facetious manner. Yes, I'm concerned by data mining, but I'm more concerned by the fact that after the ad companies' computer programs learn every interest and job I've had, they try to parse this into something that they can sell me.
Using the information that you've signed off rights to in order for companies to find better insights into what you will buy is not a violation of your privacy. A company collecting your data in a way that violates your privacy is. Additionally, advertising based on user input is not silly for those reason. Granted, there are people that lie, but even so, there is a huge amount of people that don't. These companies wouldn't be looking into these kinds of things if it wasn't profitable for them to do so.
The point I'm trying to make is that these companies rarely seek your signature, approval, or acceptance before mining data for advertising purposes. And if they do, it's buried in a TOS or EULA in subsection J of section 14 in 8-point font.
Of course it's profitable - there are plenty of people that don't lie. But regardless of whether or not the user lies, it's wrong to violate someone's privacy and try to guess what they would want to buy by their interests.