What it means is that the best way to protect your privacy on the Internet is the same as the way you protect your privacy in normal life - through your behavior. Read the privacy statements on the web sites you visit, and only do business with ones whose practices you agree with. If you're worried about cookies, disable them. Most importantly, avoid indiscriminate web surfing - recognize that just as most cities have a bad side of town that's best avoided, the Internet does too. But if it's complete and total anonymity you want, better start looking for that cave.
Technology can do some amazing things.
Recent years have seen the development of ever-cheaper and more powerful hardware, software that harnesses the hardware to open new vistas for computer users, as well as advancements in cryptography and other sciences. It's tempting to believe that technology can deliver a risk-free world, if we just work hard enough. However, this is simply not realistic. Perfect security requires a level of perfection that simply doesn't exist, and in fact isn't likely to ever exist. This is true for software as well as virtually all fields of human interest.