It's too simple to say they don't learn anything. If you actually click on the ad, advertisers sometimes gain some information (based on IP address, third-party cookies, and maybe browser fingerprinting) Sometimes they might get some information just by running the ad via analytics.

It's a bit murky whether the amounts to being able to identify you. It's not clear how much advertisers care about identifying people who don't buy or how effective advertising actually is. And this data goes stale pretty quickly anyway.

So it comes down to, "well, it depends." None of this is comforting to people who don't want to be tracked. On the other hand I haven't heard anything credible about people being directly harmed by it? It seems more about the principle of the thing?