Cookies are literally how a website keeps track of you having logged with a username and password into that site on your browser, for all other pages after you leave the log-in page.

The reason for this is because the Web protocols were designed for the web server to get a request from a browser, send the page to the browser and after that close the connection (though since HTTP version 1.1 connections might stay up for things like sending the pictures linked to a page, a mechanism known as Keep-Alive).

For performance by default the web server doesn't really care which browser has asked it for a given page or what it has asked for before unless some kind of tracking is added to the pages your receive so that in subsequent requests you're identified.

So the only way for a website to keep track of a specific browser so that it can do different things for that browser (i.e. know a user has logged-in via that browser so send to that browser pages that user has access to rather than sending "You are not logged-in" errors) is by sending some kind of token to the browser which the browser will then present along with each subesequent request to that site.

Cookies are by far the easiest way to do this.

The problem with cookies is that their ability to track a browser has be abused for things far beyond their original purpose (mainly things like track the browser were a user logged-in, to know to which browsers it can send certain protected pages and information).

There are some sites that can track a user in that site after log-in with a different method (basically all the links you get in pages on that website have a tiny bit of extra information that identifies each request as coming from a specific browser, but for example if you come into the website again from a bookmark all that is lost), but those are pretty rare nowadays because it can be quite complex to get it work whilst cookies are pretty straightforward to get to work reliably.

I recommend setting up logging in yourself so you can see why you're wrong.