Essentially, as an advertiser, in order to do effective contextual advertisement, you need to have some idea of how ads perform in a particular context - on a particular web page or app. So what you would really like to say is that "people who saw our ad on X were Y% more likely to visit or website, or buy our product". However, in order to actually measure that, when a user comes to your website you need to know which of your ads they've seen. Traditionally, you'd just serve the ad from your domain and set a cookie, but now you can't do that.
This is more relevant to brand advertising than "click here and buy product X" (direct response), but I think that the people saying "oh, just use contextual advertising" are underestimating the extent to which GDPR makes contextual advertising difficult.