When using incognito, any data will be cleared when the session is closed.
Then why do browsers have the option to disable them?
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There is a significant difference between accepting a cookie for the current browser session and removing it after the session, or not accepting a cookie in the first place. The first makes it possible to track the user over the different sites used in the same browser session, the second prevents cookie based tracking.
The only thing incognito mode does is clear information from a browsing session from your computer. That's it.
Tracking is still possible, because companies can correlate information between session based on your IP address, your account if you login to a website, URL tracking parameters in device fingerprinting, etc.
If you accept third-party cookies even for a short session, companies can still share your information between each other and correlate it between browsing sessions by the means I listen and many that I didn't mention. It's still better to deny something upfront instead of allowing it and clearing or resetting regularly.