You have no such "right" and in fact you are frequently tracked in a variety of ways online (web server logs for instance). If you don't want cookies, disable them in your browser.

Cookies are a feature on most modern browsers to make things easier (e.g. by automatically logging you on or keeping you from having to log on every single time you click to another page within a particular site). Like most such conveniences there is some potential privacy trade-off and they can be abused (which is another matter entirely - and you aren't being notified when that happens anyway). However, it is purely voluntary on your part. Disable the feature in your browser if you don't want them.

My point was about the annoying pop-ups you get everywhere now due to a ridiculous EU law that forces anyone who operates a web site to notify everyone who visits that the site uses cookies (which is pretty much any site you have to log on to and most others besides). The notification does not stop them from being used. Only turning the feature off in your browser or not visiting that website (or most websites for that matter) does that. It's a pointless law that only causes annoyance.