This website itself does not use cookies.
The Videos on this website require your consent to embed / play, because they are hosted by Vimeo, LLC, a US-based company.
They will very probably, depending on your browser settings, place cookies on your computer and use your IP address for statistics.
A cookie is “a small piece of data sent from a website and stored in a user’s web browser while the user is browsing that website. Every time the user loads the website, the browser sends the cookie back to the server to notify the website of the user’s previous activity.” (Wikipedia)
You can read Vimeo's privacy policy here.