Do they? Like what?

Third-party cookies can be convenient, sure, but in almost all cases you don't need to use them and you can still get done what you need to get done. Except when you want to track users for ads.

(You can obviously track users without third-party cookies, too, by various fingerprinting methods, but at that point it's a lot clearer that what you're doing is nefarious and doesn't have the user's consent.)