Artificial intelligence has transformed marketing and consumer lives. However, despite its multiple beneficial effects, unprecedented artificial intelligence uses pose enormous challenges to consumer privacy protection. This research aims to provide a comprehensive picture of privacy research and enhance privacy protection. We first give more specific definitions of consumer privacy according to data analytic processes. Second, we investigate how AI-related factors, privacy risk, privacy protection, and other factors influence consumer privacy decision-making, and draw a conceptual model based on the extended Antecedents-Privacy Concerns-Outcomes (APCO) model. Third, we examine the potential risks of each data analytic step and the causes of privacy risks from consumer, company, and technology perspectives, and propose privacy protection schemes correspondingly. Lastly, we also provide agenda for future research.