Data science / machine learning books for mathematicians
First of all, data only comes in so many forms that it might make sense to stick to a more "concrete definition". Data Science is necessarily practical. But here are a few other books with a more theoretical grounding. Others will certainly know many more...


A probabilistic theory of pattern recognition by Devroye, Györfi, Lugosi
An Introduction to Computational Learning Theory by Kearns
Information theory, inference and learning algorithms by MacKay
Machine learning: a probabilistic perspective by Murphy
Understanding machine learning by Shalev-Shwartz, Ben-David


However, research in machine learning is mostly found in journals and papers. It will be hard to find one or a few books that cover everything you want to know.