There are a lot of ways to track behavior via scraping data, your credit card company or bank probably knows, but even if you pay cash all your smart home devices, internet provider, and cell phones are giving up info that can estimate with very high confidence who owns guns. If you are on this site you are on the list.
They track that info to build a profile to sell you personalized ads for goods and services, and then also pass it on to a government database because every US tech company has been co-opted by the intelligence services to illegally spy on all of us. For the most part the intelligence community keeps that information separate from law enforcement actions, but if you become a big enough target they always seem to find what they want/need to coerce or arrest you.
