A site can disappear without warning, and there is no way to find it again. Whenever a daily budget is exhausted, or the time has changed on a "time-sensitive" ad, the ad will disappear, so if you have found the site (which may be a great place) there is no way to find it again.
Unlike the natural SERP, which changes once a day, the PPC (sponsored) listings appear and then disappear randomly, leaving a visitor wondering, "What happened to that wonderful site I was just on?"
OK, so I'm sure that you are thinking that only a luddite would forget to bookmark a site, but not everyone has the presence of mind to know that a site can suddenly disappear. One can hope that the site will appear again the next day around the same time, but there is no guarantee of that.
And the "Web History" function that Google offers requires you to log into a Google account, which not everybody has (or is willing to trust).
So, if a cookie is placed on a PC anyway, why not use that to keep track of the PPC clicks for just one day? It would make the end user's surfing experience better, not to mention that it would cut down on a lot of the yelling and frustration...