Yes, it's probably against the law in most jusridictions to steal cars. Hover, other laws differ from country to country and in the US, where you obviously reside, they differ from state to state, even.
Example? Sit onto a bench in central park and drink a beer? Busted! This is perfectly legal in most of Europe. Another example? Drink a beer at the tender age of 17? In most of the US a crime in most of Europe wine and beer can be consumed from 16 up. In Switzerland a 17 year old boy can screw a 15 year old girl (or vice versa) without falling afoul against the law. Something, I would guess, gets you stamped as a felon and a sex offender agains kids for the rest of your life in most states
There's a whole damn library about privacy legislation throughout the EU.
Those binding directives must be implemented into law in all of the EU countries. You can add Iceland, Norway and Switzerland to the mix. This partially translates to criminal offenses if violated and yes - systematically storing and processing personally identifiable data without permission, reason and safeguards may be a crime depending on circumstances.
You may claim that this is stupid. I for one however rather sip a beer, sitting on a park bench on a sunny day then have my private data (including phone, financial and medical data) splattered around the world and sold to every sleazy marketoid that pays for it.
Your priorities may differ, of course.