I think that is a preposterous claim. Airlines know every vacation and business trip you've ever taken. Credit reporting agencies probably know more about your financial well-being than even you do. Heck, credit card companies know every financial transaction you perform.
I don't really buy the argument you started to form about how other companies can't "put two and two together." What makes you think that? Amazon certainly uses their data to make recommendations to me. Walmart can't personally target you in the store, but I'm sure they do with online purchases. There is nothing stopping Walmart from looking at your photos and deducing things, other than company policy and laws (so, the exact situation Facebook is in).