You've got the wrong metaphor.
Open up the session monitor in your browser of choice and you'll see it as a series of requests. Now the metaphor is much clearer: you're ringing them up, and asking them things. Your browser, on your behalf, is sending the data that lets the session persist and allows inferences to be drawn.
*ring ring*
ACME: This is ACME products, how can I help you?
John: Hi, I'm John, can you show me products related to 'shoes'?
ACME: Okay, here are leather shoes, casual shoes, trainers.
John: This is John again. I want casual shoes.
ACME: Mens or womens?
John: This is John again. Mens please. Brown, size 10.
ACME: Here are some styles of mens shoes in that colour. - writes down that John may be male, adult -
John: This is John again. Thank you I'd like to buy these ones.
ACME: Okay John, done. Would you like to see some women's shoes?
John: This is John again. Yes, women's, adult, formal.
ACME: Okay John, here are some formal women's shoes - writes down that John may be married to a woman, employed -
John: This is John again, bye.
*click*
I think the idea that this is 'users' data' to be misleading. It's the company's data regarding a request from a user. If I keep track of how many red or green apples I sell and in which months of the year and whether the seller is male or female or tall or short, that's sales data.
"Intelligence without character is a dangerous thing." -- G. Steinem