To track visitors, Piwik by default uses 1st party cookies, set on the domain of your website. Cookies created by Piwik start with:
_pk_ses. When you use the Heatmap & Session Recording plugin, a cookie
_pk_hsr will be created.
When you exclude yourself from being tracked using the cookie method, Piwik will create a cookie
piwik_ignore set on the domain of your Piwik server (which might be a third party cookie if Piwik is setup on a different URL from the website being tracked).
Piwik by default does not use third party cookies but you can enable a third party
_pk_uid cookie it if you wish.
Learn more about What data does Piwik track?.