Every time I run Spybot Alexa gets cut-off. In fact, I think the latest memory-resident spybot keeps the cookie out.
With the rise of spyware many more people are taking measures to keep it out.
The point is, Alexa may not be giving an accurate reading of how many people are on this site.
Very true.
I've never allowed cookies from most sites to begin with - or at least only those that I REALLY REALLY need to allow. I specifically have disallowed alexa as well as nearly all other news sites.