If you buy something from a shop with anything other than cash ( some places have started no accepting cash ) - then you leave a trace as part of that transaction. Heck if you walk into a shop and pay with cash, the person at the till still sees you and may remember.
Visiting web pages properly anonymously is far from trivial - it's not as simple as refusing cookies.
The problem is the selling on of that data, and the joining of the dots across large bodies of data where the sum is often greater than the parts. I would argue it's the act of trying to build a picture of you, as oppose to the incidental accumulation of data.
Kinda like the difference between people seeing you walking on the public street ( you are giving away your image and location data ), and you being followed everywhere by a stalker.
At some point it crosses the line from the unavoidable, to the unpleasant.