In central Europe it is illegal to film the public space in front of your billboard without special permit. Billboards that don't film the space in front of them are still pretty common.
An effective ad on a popular website could be a single jpg hosted on the same webserver as that website itself. You wouldn't need any Cookie banner for that.
But ohh, that isn't enough. No they want to be able to show your users content you didn't explicitly approve and run code on your users computers you cannot verify.
If you had a lemonade stand would you let some company film your customers faces? Probably not.
The GDPR law just makes sure you ask them before you do it