As I understand it, the EU has far BETTER data-protection legislation than the US.
For a start, we have this...
and in the UK, this....
Both these provide specific rights for "citizens to ask what information is stored about them.."
In fact, the US and EU have had to create specific agreements (Safe Harbour) to provide ways of ensuring US based data-centres meet European data-protection standards.
So - maybe the REAL complaint is that the EU doesn't just hand over its data whenever the US thinks it should.