Ok I'll bite. What about the concept of cookies am I missing?
The fact that:
A) They originate from the server
B) One website cant read another websites cookies
C) Cookies are generally just a session ID and maybe a cache of your name to save looking it up on a database.
So saying 'they read your cookies' is pretty redundant given that:
A) The cookie data is the data they put in it
B) They know whats in the cookie anyway
C) They can only read their own data.
Make sense now?