https://www.popsci.com/erase-browsing-history/

"However, this mode won’t erase everything you do. If you log on to a site like Facebook or Amazon in incognito mode, those pages will recognize you and record your browsing activity. In other words, your browser won’t remember what you’ve been up to, but any sites you log into will. This means you might see evidence of your private browsing in ads that appear later. And if you download files, private mode won’t wipe them either, though it will clear out your download history."