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You can find the legal aspect of this here. But let's understand what happens:
Nearly ALL websites you will ever visit require to distinguish between YOU and somebody else visiting the page at the same time. The minimum setup of this is a so-called SESSION. This can be an identifier containing nothing more than a unique number.
...up to the point where there are laws stating that I have to inform you about using such technologies. HOWEVER, the technology itself means:
The European Union has installed a law to inform you about the usage of COOKIES. While the respective countries are still in the progress of defining national laws regarding this bill, I have to inform you that without COOKIES you can't use our site, nor every other site processing any kind of user information.
If you feel you have to savely delete all traces of a website, your browser can help you with that. Note that modern webpages use a technology called "local storage" which might not be targeted by software designed to manage COOKIES. What we save on your device will be visible in your browser's console (WIN: Ctrl + Shift + J, MAC: Cmd + Opt + J on most browsers), and in the according storage space on your device (e.g. %LocalAppData%\Google\Chrome\User for Chrome on Windows)