Historically, "the consequences" have often included "you die horribly".

Sure, we can all avoid Hooker Chemical Company. (Well no, we can't, because it doesn't sell to consumers and we can't find out who consumer companies are supplied by.) But if we could, it wouldn't have saved anyone living in Love Canal. They got leukemia no matter what the market did afterwards.

I'm not being hyperbolic here. Markets work because they're iterated, voluntary transactions which gradually reveal asymmetric information. If the interaction is not iterated (e.g. fly-by-night companies), markets don't protect you. If the interaction is not voluntary (they poison your air), markets don't protect you. If the first asymmetric exchange is a disaster (you buy tainted produce and die), you never benefit from the gradual reveal of hidden information.

I'm generally a pretty staunch libertarian. But it's simply not true that this problem can be solved with a simple "you chose to buy this"; non-government solutions are vastly more complicated than that.