It's not. It's only just a way to visit sites without a record being stored on your computer. Read the warning. For example, Firefox's private browsing mode states:

> While this computer won't have a record of your browsing history, your internet service provider or employer can still track the pages you visit.

They should include government spooks in that warning!

The only thing incognito mode does is keep your activity and cookies while in that mode from being saved into your local browser history. It doesn't do anything at all externally.