You don't need Cookies. Your browser requests it from Google's server, which gives them your IP address. And your browser sends what webpage you're currently on as part of the HTTP referrer.
So, if every webpage you visit loads in its fonts from Google's CDN, they have your complete browsing history from that alone.
Other commonly used CDNs of Google:
GStatic, JQuery, ajax.googleapis.com
https://developers.google.com/fonts/faq#what_does_using_the_...