What do social media users think about social media data mining? This article reports on focus group research in three European countries (the United Kingdom, Norway and Spain). The method created a space in which to make sense of the diverse findings of quantitative studies, which relate to individual differences (such as extent of social media use or awareness of social media data mining) and differences in social media data mining practices themselves (such as the type of data gathered, the purpose for which data are mined and whether transparent information about data mining is available). Moving beyond privacy and surveillance made it possible to identify a concern for fairness as a common trope among users, which informed their varying viewpoints on distinct data mining practices. The authors argue that this concern for fairness can be understood as contextual integrity in practice (Nissenbaum, 2009) and as part of broader concerns about well-being and social justice.