Users in the EU can choose to have all, some, or none of Google's services such as Search, YouTube, and Chrome share their data. You can automate it with consent-o-matic extension https://chromewebstore.google.com/detail/consent-o-matic/

In the US this is just the way it is.

Chrome’s Incognito Mode is not private. Google Updates Chrome's Incognito Warning to Admit It Tracks Users in ‘Private’ Mode https://www.wired.com/story/chrome-incognito-mode-privacy-wa...