He is not afraid of it, any statement he gives along the lines of "Clear your cookies" would be politically damning. An overly dramatic headline could be - 'Zuck, head of evil tracking empire that sells your data, tells everyone that they should clear their cookies which implies tracking is bad'.

Political farce aside, he does have a point, cookies are fundamentally tokens of persistence. Persistent cookies let you configure the websites without creating accounts and stay logged in on the websites you do have accounts on. Loosing that is inconvenient which means it will make parts of the experience worse.