Because in the US you will simply get the NSA on your door, with a gag order so you can't even talk about it, and have to hand over all your user data.
Thank you, but despite all its shortcomings, I still prefer the EU.
And I prefer the great land down under (Australia, not that pretender New Zealand), though if things keep going the way they are I suspect US agencies will have the power to operate here before much longer.