To find out why this type of warning, you need to understand what cookies are able to do.
Cookies are a feature of web browsers that store little information on your computer so sites can "remember" some information such as logins, preferences, and more.
However, advertising agencies and companies use to track Internet users to know their preferences, often commercial, which has led many anti-spyware programs to eliminate these types of cookies.
From time to time you can delete cookies, normal, the site will replace new ones, if you allow, every time you enter it, without stress, do periodical cleanups even.
However there is a mechanism called "evercookie" in which it allows a website to store some information on the computer, allowing the user to be always tracked.
Six steps are required to remove an evercookie from Firefox. There are four in Chrome. For Safari, on the Mac, a specific code was created. BleachBit cleaning software is able to erase Internet Explorer evercookies. On some devices, with the iPhone, erasing the evercookie is a real war.
Of the private browsing modes, only Safari completely prevents evercookie.