Privacy mode does not keep the evil guys from tracking you.

Many people mistake what the Privacy mode of their browser provides for them.

Privacy mode is not about them not being trackable. Privacy mode is about surfing somewhere without leaving many visible fingerprints in the browser.

When say law enforcement wants to track your surfing behaviour, they've got basically three places where they can learn about you:

1. They can take your PC and look what traces your browser left on the harddisc.
2. They can intercept your internet connection and take a look what you are doing.
3. They can find your IP address in the logfiles of say some webserver, and ask your ISP to tell them whose account was associated to it at the given time.

Now privacy mode makes number 1 harder. How much harder is an interesting question, but personally privacy mode is something you can use if you do not want any other user of the browser to figure out that you've browsed it.

To cite the firefox support page, it also does throw away any cookies that you might have acquired. Cookies are just one way to encode an unique id, see also here or this wired article, so clearing them only helps in a limited way, and is probably giving you a false sense of safety.

So from an "avoiding tracking" perspective privacy mode is even a weak placebo.