Proof has not a damn thing to do with it. Privacy becomes important once you've had to deal with that shit. Too many people insist on learning the hard way with the "I have nothing to hide" idiocy. You let The State into your affairs, they'll "find" whatever they want to find.
"I have nothing to hide"Big data and data mining means that the privacy you thought you had is/will be gone.
Let's say you bought a digital watch with alarm and a flashlight recently, and an already terrorist suspect bought some fertilizer. Then your phones' location data shows that you happened to be at the same pizzeria at the same time for 30 minutes (or you both paid your pizza using Bitcoin).
=> big data says you're suspected terrorist and puts you on a high risk list
=> you won't be getting an insurance or credit card or loan from a bank, you wouldn't get a job or might lose your job if it is a job that requires clean background etc
And even if you're not living in such a country yet, you'd be prevented from getting into one when traveling, or worse, arrested at the airport.
And all this thinking "you had nothing to hide".