Well, many users have this doubt that when websites place cookies on their systems. This is also true that most of the websites play this game to speed up their website load time and increase more engagement.
Cookies are nothing but simple text files. These text files cannot accomplish programs or execute tasks. Moreover, these files also cannot be used to see data on your hard disk or take other information from your computers.
It is also noteworthy that cookies can only be accessed by the server that initiated them. This turns things impossible for a web server to sneak peek in cookies established by other servers, grabbing sensitive bits of your sensitive data.