While updating my Steam account settings after purchasing a few DRM-free Steam games  (compatable with (compatible with Linu thanks to Proton) on sale, I stumbled upon a Cookies & Browsing page wherein Steam users can disable a few cookies set by the Steam client. In order to reach the Cookies & Browsing settings, navigate to the Account tab in the main Settings menu, go to “View Account Details,” and from the new window, navigate to Cookies & Browsing.

Locating "Account Details" from Steam settings.
Navigate to this area from the main Steam settings menu.
The Cookies & Browsing tab from Steam's user preferences menu with all optional cookies rejected.
By default, all optional cookies are accepted.

From here, users can choose whether to accept two first-party Steam cookies and four third-party cookies (the main third-party cookie of interest is Google Analytics). Moreover, users can choose to enable or disable outgoing link tracking on Steam store pages. Users can also enable or disable all of the above instead of configuring them individually (the default setting is enabled). The page also lists a number of “necessary” cookies that cannot be disabled from Steam’s settings along with explanations of what they do.