Maybe you should have read that privacy statement...
The ACLU puts those evil, privacy-destroying cookies on your computer! ;)
Seriously, they explain this thoroughly*, and show how to avoid it if you want.
Of course, if you fail to uncheck those "share my data" buttons (as usual, they come checked by default), you will be getting a bit more mail...
*In fact, I wish I'd had access to their explanation when the "Great Cookie Flap" was on.