Monetising the data is probably a better way to put it.
They could sell it, and then yes, you'd be targeted via email/post etc with ads. There are some issues around privacy and consumer unhappiness that makes this a little less likely in the current environment however.
But they can monetise it. As I mention above - a retailer who knows you like digestives might accept advertising money from a different brand of digestive to offer you coupons/discounts on their product. The retailer is therefore still making the sale, but they make extra cash because they've been paid to attract you.
The retailer might realise that do like certain products, but only at specific prices, so they'll ensure that you receive that email / get that in-app notification etc when the product is on sale, encouraging you to come into the store.
They can take the data from you and others like you to understand shopping habits and apply this data to how the store is laid out, thereby increasing their sales - if a retailer can get everyone to add one extra item to their basket every time they shop, that would be a massive incremental change to their sales overall.
As supply chains get more sophisticated, they can even work out things like the best time to sell certain products etc. This is something that retailers have done for eons, but this offers a more specific, data-led approach that is more effective. eg, I'd be shocked if there's a retailer on the planet who doesn't understand, without seeing your loyalty data, that pastries sell more enthusiastically in the morning or that BBQ ingredients are popular before a sunny bank holiday. But maybe they didn't realise that shoppers in the afternoon are more likely to buy lamb chops (totally made up example that is meaningless).