To track visitors, Matomo (Piwik) by default uses 1st party cookies, set on the domain of your website. Cookies created by Matomo 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, Matomo (Piwik) will create a cookie
piwik_ignore set on the domain of your Matomo server (which might be a third party cookie if Matomo is setup on a different URL from the website being tracked).
Matomo (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 Matomo (Piwik) track?.