In the age of information abundance, attention is a coveted resource. Social media platforms vigorously compete for users' engagement, influencing the evolution of their opinions on a variety of topics. With recommendation algorithms often accused of creating "filter bubbles", where like-minded individuals interact predominantly with one another, it's crucial to understand the consequences of this unregulated attention market. To address this, we present a model of opinion dynamics on a multiplex network. Each layer of the network represents a distinct social media platform, each with its unique characteristics. Users, as nodes in this network, share their opinions across platforms and decide how much time to allocate in each platform depending on its perceived quality. Our model reveals two key findings. i) When examining two platforms - one with a neutral recommendation algorithm and another with a homophily-based algorithm - we uncover that even if users spend the majority of their time on the neutral platform, opinion polarization can persist. ii) By allowing users to dynamically allocate their social energy across platforms in accordance to their homophilic preferences, a further segregation of individuals emerges. While network fragmentation is usually associated with "echo chambers", the emergent multi-platform segregation leads to an increase in users' satisfaction without the undesired increase in polarization. These results underscore the significance of acknowledging how individuals gather information from a multitude of sources. Furthermore, they emphasize that policy interventions on a single social media platform may yield limited impact.