I have disabled full hide mode to partial mode. But they warn me it still create cookie.
HTTP/1.1 200 OK
Server: openresty/1.9.7.1
Date: Mon, 22 Feb 2016 23:21:57 GMT
Content-Type: text/html; charset=UTF-8
Connection: keep-alive
Keep-Alive: timeout=30
Link: <http://s16237.p413.sites.pressdns.com/wp-json/>; rel=”https://api.w.org/”, <http://wp.me/P6JuQV-6>; rel=shortlink
Set-Cookie: WdhzEx=1; expires=Tue, 23-Feb-2016 02:21:57 GMT; Max-Age=10800
Vary: Accept-Encoding, User-Agent
X-User-Agent: standard
X-Cache-Config: 0 1
X-Cache-Status: BYPASS