Cookies contain information about the user’s visit to your website. Some of that information may be categorized as personal information e.g. IP-address, identifiers, geo-location.
But cookies cannot be used to hack information from users’ computers or carry malicious software.
Companies use tracking cookies to create extremely detailed user profiles used for marketing purposes i.e. to target ads to specific user profiles.
To accomplish that, many websites use third-party services like for example the Facebook share button which allows Facebook to track user activity across the internet where other share buttons are implemented.
With this data, Facebook and other ad networks can targeted advertisement to the users based on website visits, preferences, and a lot of other metrics.
Therefore the use of cookies and the data they collect and process is heavily regulated.