[fx32s]

That request is made to the ad platform (e.g. Google/FB/Amzn) and not the 3th party who owns the ad. Even when following the link the website does not get any personal information it does not already get by you visiting their website.

[viraptor]

You mentioned data originally, not personal information. You do give the 3rd party data about your current visit which is connected with all the information they already have about you - which builds up your profile. But the difference is not that big - for example did you visit page for the local school with a facebook button? Yeah, facebook already knows which area you likely live in.