Why Don't We Make Money For Our Information?

I saw an article on HN https://news.ycombinator.com/item?id=7806499. It made me wonder why we don't create some way for users to sell their data directly? Something like <mydataapidomain.com> where either a user's data is stored with some common api in a central repository where advertisers/others can query for certain data from the users or it stores ip addresses for servers for those users so that the users have complete control over their own data, but the access is still brokered for them.

Why are third parties making money selling our data? Why can't we sell our own data and make the $$!??