If you also have Roku devices linked, you need to unlink their Roku account via the link “Other Services” on this page https://app.plex.tv/desktop/#!/settings/account
Same applies to Sonos, trakt.tv etc
You might want to teach your web browser(s) to not delete the cookies of plex.tv when you close them.
This helps cutting down on the number of authenticated devices a lot.
These cookies are not used to track you. They are used to store your access token and your personal Plex client settings for the web app.
If Plex wanted to track you, it could do so using your user account (into which you are logging in all the time, creating another cookie by doing so…)
It’s not cookies == bad
but rather cookies == pootentially usable for nefarious purposes.
Which is just the same with almost all other things.
So a case-by-case approach in dealing with them is sensible.