DuckDuckGo wrote on Tuesday that most browser tracking protection doesn’t stop tracking by default. There are multiple ways to track people besides third-party cookies, for example.
The issue is that once such trackers are loaded in your browser, they have a ton of ways to track you beyond just third-party cookies (e.g., by another form of cookies called first-party cookies, by your IP address, and much, much more).
Therefore, to really stop a cross-site tracker, the kind that tries to track your activity from site to site, you have to prevent it from actually loading in your browser in the first place.
Of course, the post is a plug for the DuckDuckGo browser extension, but the details behind tracking are good to know.