Alternatively 'third party cookies' may be set by other websites who run content on the page you are viewing:

Third party cookies are set by a different organisation to the owner of the website you are visiting. For example, the website might use Google Analytics to analyse how users use the site. Google will set their own cookie to perform this service. The website you are visiting may also contain content embedded from another site such as twitter, facebook, you tube and these sites may set their own cookies.