The problem is that a website is generally not served from one domain.
Put a Facebook like button on your website, it’s loaded directly from Facebook servers. Now they can put a cookie on your computer with an identifier.
Now every site you visit with a Facebook like button, they know it was you. They can watch you as you move around the web.
Google does this at a larger scale. Every site with Google ads on it. Every site using Google analytics. Every site that embeds a Google map. They can stick a cookie in and know you were there.