Ads HAVE TO track you in order for the operator of the Ad network to get credit for generating sales.
No they don't. The only thing they NEED to track is which advertising campaign led to which sales.
At the risk of sounding like a justly-reviled marketing wanker, I suspect it's a bit more complicated. Originally print advertising was sold on the basis of circulation - the more copies sold, the higher the rate. Then someone invented readership surveys, and it turned out that some publications had many more readers per copy than others, so rates started to be based on cost per thousand readers. Next thing was demographic profiling, so companies selling golf clubs could see the cost per thousand AB males. Then more detailed surveys like TGI allowed advertisers to home in on, say, C1C2 married women who like trying new things (fnaar fnaar).
The shortcoming of all this was that it depended on surveys, so the information was unreliable and the confidence interval for exotic cross-analyses tended to be unacceptably large. Online advertisers aspire to build a corpus of real information (sites visited, things purchased etc) about identifiable users, or at least their computers, so they can target their ads.
There's a sense in which this could be a slightly good thing. I hate the ads on TV, but what I particularly hate is the fact that 75% of them seem to be for women's hair and skin products. If somebody found a way to show me only ads for things I'm interested in buying I might be more tolerant.