Normally they ask what kind of cookies you “allow”, so you have to remove it if you don’t want them to collect your data.
Most of the time there are 3 levels you can choose:
accept all. Which means they can use cookies and collect data as they want.
allow necessary and legitimate interest cookies, which means they collect some and often it means targeted advertising.
only necessary cookies. That’s the minimum setting that only allows what it needs to run the page and gives you random advertising.
You normally have to tick the option you want them to do and remove the tick of what you don’t want to allow. But it depends on the wording if they asking you to “ALLOW” or “DENY” the options.