The more data they have on you, the more valuable that data is to a third party. So they sell your data to someone else, who then phones you based on your known deep interest in <whatever it was that tracked you>. Or spams you. Or messages you. Or whatever method they think will most get your attention.

If you don't give them that information, they can't sell it, and the buyers won't annoy you.

It's not that the ads you get are more interesting, it's that you get more ads because they think they know more about you.