It's because they use 3rd party cookies, which let them track a user's interests when they go from site to site. So, if Adsense determines a user wants to buy a new TV, because they have viewed 15 sites relating to TV buying tips, they may then show the user an ad on your site about buying TVs even though your site is about something completely different not related to TVs. It's their Interest Based Advertising system. Basically they want users to know that what sites they visit is being saved and tracked across multiple websites. The privacy policy they want you to have must include information stating that your ad network, Adsense, allows this type of tracking.