When I click a link you mean? Definitely true, but that way they only have access to my IP and user agent, which is still better than all the WebGL, Font library, display calibration settings, mouse movement etc. that they use otherwise.

I often use Tor, although I'm pretty sure that even then, a good analytics lib can see it's me based on scroll behaviour, mouse movement, time of day, and of course what I browse.

But yeah, you make a good point.