First of all, please note that tracking cookies are parcels of text sent by a server to a Web client (usually a browser) and then sent back unchanged by the client each time it accesses that server. HTTP cookies are used for authenticating, session tracking (state maintenance) and maintaining specific information about users, such as site preferences, the contents of their electronic shopping carts, geo-location and so on.
Cookies are subject to a number of misconceptions, mostly based on the erroneous notion that they are computer programs. In fact, cookies are simple pieces of data unable to perform any operation by themselves. In particular, they are neither spyware nor viruses.
Most modern browsers allow users to decide whether to accept cookies, but rejection makes some websites unusable. For example, shopping carts implemented using cookies do not work if cookies are rejected; login on different sites will not work, etc.
BullGuard detects them as they contain information about your browsing habits, location, login session, etc. This information can be retrieved by malware and used against you by redirecting your favorite websites to shady corners of the internet.