Exactly. And you can't be surprised when a company that also runs a search engine and ad network stores that data for other purposes.
I rarely jump in on things like this because of the lack of understanding of how things actually work as well as the inevitable responses like from OP and someone else I just responded to.
To repeat for those who may not get it just yet. Private browsing on FF and incognito mode on chrome are specifically for use when you use a shared pc or someone else's system to check your email or whatever. It's always been designed to protect locally not from the greater web.
I don't remember ever seeing or hearing anything from Google about this mode hiding data from them.