Drupal 6 sets a cookie to track sessions for anonymous visitors and users that log in, see:
Drupal 6 - session.inc
You can view the source code and comments at the bottom of the above link as to what's being stored and read.
If it's a significant concern however and you want to disable cookies for anonymous visitors, see this:
DRUPAL FOR PRIVACY BUFFS: CONFIGURING YOUR DRUPAL 6 SITE TO WORK WITHOUT COOKIES FOR ANONYMOUS
Note that this may impact your site's functionality for anonymous visitors, so you should test this prior to going live.